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- Sun Jul 28, 2013 4:42 pm
- Forum: ARCH and GARCH Models
- Topic: Initital Guess for Covariance Part in MGARCH Model
- Replies: 1
- Views: 5691
Initital Guess for Covariance Part in MGARCH Model
Dear Tom, I use Tsay's "Analysis of Financial Time Series" to create DCC MGARCH models by hand (for a better understanding). I closely follow the examples in the book, but there is one question left for me. I attached the code from the trivaria example in the book (via Choleki decompositio...