The RATS Software Forum

You second step ADCC estimates don't look very good. (In effect, it's estimating a CC model, hence the behavior). The residuals have a fairly low correlation to start, but I would look really carefully at the individual diagnostics for the univariate models, as it looks like an ADCC model isn't app...

Hi I am estimating ADCC GARCH correlations using the attached code. I have estimated correlation for all pairs in my dataset. For a few pairs, I am getting constant correlation values for every week (I am using weekly returns data). I have attached the code, data file and output of one pair as a spe...