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Re: stand. BEKK & Trigonal. BEKK
Posted: Tue Jan 13, 2015 11:14 am
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?
Re: stand. BEKK & Trigonal. BEKK
Posted: Tue Jan 13, 2015 12:37 pm
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.