xregressors, DCC, CC

[garchrookie]

I know: “When I add the xregressors option, the same set of regressors are included in all variance equations.”

Let’s say I have two series x and y.

However, if I have mv=DCC or mv=CC, and I add the “xregressors” option with a variable z.

I understand the z variable will be added in both the variance equations of x and y.

How about the rho equation? Does the rho equation contain this variable z?

As we have CC or DCC, I do not have the covariance equation. I only have a rho equation.

Will the variable z be included in the rho equation for this case?

[TomDoan]

Not. It adds the regressor only to the individual variances. There isn't any way to add shift variables to the CC or DCC equations using GARCH. You'd have to use a MAXIMIZE setup.