Good evening, as you may know the command mgarch dcc has the following syntax "mgarch dcc (y1 y2 = x1 x2), arch(1) garch(1)"
In the case of my script, I have the following variables:
mgarch dcc (r_sp500 = ) (r_bvl_ind = dummy_may2015) (r_bvl_min = dummy_may2015) (r_bvl_fin = dummy_may2015), arch(1) garch(1) distribution(t) technique(nr 10 bhhh 5 dfp 5)
Our question is: How can we estimate a dcc garch using tarch or egarch(1,1)? Because the command mgarch dcc by default only accepts arch (x) garch(y) models
Thanks in advance
In the case of my script, I have the following variables:
mgarch dcc (r_sp500 = ) (r_bvl_ind = dummy_may2015) (r_bvl_min = dummy_may2015) (r_bvl_fin = dummy_may2015), arch(1) garch(1) distribution(t) technique(nr 10 bhhh 5 dfp 5)
Our question is: How can we estimate a dcc garch using tarch or egarch(1,1)? Because the command mgarch dcc by default only accepts arch (x) garch(y) models
Thanks in advance
