为什么mgarch不允许saarch?

doudoukarla 发表于 2013-9-20 21:31
楼主，请教一下DCC-MGARCH的命令，最近在写论文，被这个卡住了，谢谢啦

不好意思有一阵子没有来了！

DCC

* for each return using simple appropriate univariate GARCH model

e.g. mgarch dcc (var1 = , arch(1))(var 2 = , arch(1) saarch(1)) ... ...

* Predict Conditional Variance of each variable

predict var1cvar, variance equation(var1)
predict var2cvar, variance equation(var2)

* Predict Conditional Covariance

* var1 & var2
* CC
predict var1_var2_cc, variance equation(var1, var2)

* Compute DCC
gen var1_var2_dcc = var1_var2_cc/(sqrt(var1cvar*var2cvar))
twoway tsline var1_var2_dcc

试试行不行~

doudoukarla 发表于 2013-9-20 21:31
楼主，请教一下DCC-MGARCH的命令，最近在写论文，被这个卡住了，谢谢啦

不好意思有一阵子没有来了！

DCC

* for each return using simple appropriate univariate GARCH model

e.g. mgarch dcc (var1 = , arch(1))(var 2 = , arch(1) saarch(1)) ... ...

* Predict Conditional Variance of each variable

predict var1cvar, variance equation(var1)
predict var2cvar, variance equation(var2)

* Predict Conditional Covariance

* var1 & var2
* CC
predict var1_var2_cc, variance equation(var1, var2)

* Compute DCC
gen var1_var2_dcc = var1_var2_cc/(sqrt(var1cvar*var2cvar))
twoway tsline var1_var2_dcc

试试行不行~