Unexpected error from running mgarch dcc (dynamic conditional correlation)

[anduong]

I am getting an unexpected error from running predict variance after mgarch dcc command. I am using Stata 13 for Windows. I tried to find the dynamic correlation between two time series by using mgarch dcc step by step.

arch var1, arch(1) garch(1)
predict res1, residual
predict h1, var
gen std1=sqrt(h1)
gen stdres1=res1/std1

Do the same for var2, get stdres2. Then I typed:

mgarch dcc ( stdres1 stdres2)
predict HH*, variance

then Stata sent error message:

MGARCH_predict_DCC(): 3301 subscript invalid
<istmt>: - function returned error*

Normally when I run predict H*, variance after running the command: mgarch dcc (var1, var2), arch(1) garch(1), there is no error. Do you know where I were wrong? How can I fix it? I already searched everywhere but still can not find the answer or even someone has similar problem.

[Leyla Yusifzada]

Hi Anduong,
I am trying to predict covariance , variance based rolling window estimation of mgarch dcc models. I am wondering if you have a code for that.