Hi everyone,
It's a pleasure to be among you. I would like to ask you 2 questions. Firstly, I have tried running the DCC GARCH model using the command: mgarch dcc (dlnoil=) (dlnsp =), arch(1) and this is what I got.
Please advise me on how to proceed with this. The two variables are S&P 500 returns and WTI oil futures returns.
If a solution is found to this problem, I am also curious about how to create a graph like this to demonstrate the daily or monthly correlation coefficients that could be derived from the model.
I would really appreciate any kind of help on this matter as I am stuck and I cannot really proceed with my dissertation.
It's a pleasure to be among you. I would like to ask you 2 questions. Firstly, I have tried running the DCC GARCH model using the command: mgarch dcc (dlnoil=) (dlnsp =), arch(1) and this is what I got.
Please advise me on how to proceed with this. The two variables are S&P 500 returns and WTI oil futures returns.
If a solution is found to this problem, I am also curious about how to create a graph like this to demonstrate the daily or monthly correlation coefficients that could be derived from the model.
I would really appreciate any kind of help on this matter as I am stuck and I cannot really proceed with my dissertation.
