Standard BEKK & Triangular BEKK

Discussions of ARCH, GARCH, and related models
econo
Posts: 32
Joined: Fri Sep 05, 2014 9:16 am

Re: stand. BEKK & Trigonal. BEKK

Unread post by econo »

I applied DCC model, got the residuals & Standardized residuals.
by residuals I got good copula estimation but standardized residuals still no correlations.
can I use "residuals" in my paper?
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: stand. BEKK & Trigonal. BEKK

Unread post by TomDoan »

omid_ie wrote:I applied DCC model, got the residuals & Standardized residuals.
by residuals I got good copula estimation but standardized residuals still no correlations.
can I use "residuals" in my paper?
Obviously, I can't answer the last question (since it's your paper and I don't know what you're trying to do). However, what's the point of running the GARCH model if you ignore the variances that it calculates? The (non-standardized) residuals won't be that much different from what you would get by taking the means out of the original data.
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