DCC Garch
I'm trying to investigate common patterns in conditional volatility for 28 sectoral series with 249 observations in each series with a multivariate DCC-GARCH model with the command "mgarch dcc" in Stata. However, it´s only generating results for 8 sectors and when I try to increase the number of sector, the follow message appear:
"matsize too small
You have attempted to create a matrix with too many rows or columns or attempted to fit a model with too many variables. You need to
increase matsize; it is currently 400. Use set matsize; see help matsize.
If you are using factor variables and included an interaction that has lots of missing cells, either increase matsize or set emptycells
drop to reduce the required matrix size; see help set emptycells.
If you are using factor variables, you might have accidentally treated a continuous variable as a categorical, resulting in lots of
categories. Use the c. operator on such variables."
If anyone has an idea on why it ́s handling only very few sectors, I would be grateful
"matsize too small
You have attempted to create a matrix with too many rows or columns or attempted to fit a model with too many variables. You need to
increase matsize; it is currently 400. Use set matsize; see help matsize.
If you are using factor variables and included an interaction that has lots of missing cells, either increase matsize or set emptycells
drop to reduce the required matrix size; see help set emptycells.
If you are using factor variables, you might have accidentally treated a continuous variable as a categorical, resulting in lots of
categories. Use the c. operator on such variables."
If anyone has an idea on why it ́s handling only very few sectors, I would be grateful
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