Sorry, stupid, I missed that with this test.
Turns out the problem with the other data was also to do with my wrong returns convertion in the code.
Thanks a lot, I think I was over thinking things.
Search found 3 matches
- Tue Feb 21, 2012 5:23 am
- Forum: Examples and Sample Code
- Topic: Cappiello, Engle, Sheppard(2006) DCC GARCH models
- Replies: 26
- Views: 47458
- Mon Feb 20, 2012 11:50 am
- Forum: Examples and Sample Code
- Topic: Cappiello, Engle, Sheppard(2006) DCC GARCH models
- Replies: 26
- Views: 47458
Re: Various two-step DCC models
No problem. I also tried to roughly recreate the results of a paper that uses the 4th technique, the same thing happens as when I use may own data series. Here I did not change any of the code and the data is fairly short time series. I have enclosed the data and also the code; although there is bas...
- Fri Feb 17, 2012 12:32 pm
- Forum: Examples and Sample Code
- Topic: Cappiello, Engle, Sheppard(2006) DCC GARCH models
- Replies: 26
- Views: 47458
Re: Various two-step DCC models
Hi guys, Sorry I am having the exact same problem as avalokita was having. I am working though the code with a couple of different data sets and everything looks fine until the DCC max when I get the same error message. Could someone please have me their thoughts to what is (what am I doing) wrong? ...