GARCHMVBOOTSTRAP—Multivariate GARCH bootstrapping
Posted: Tue Aug 13, 2024 9:12 am
GARCHMVBOOTSTRAP.RPF does bootstrapping (for computing VaR) for a standard multivariate GARCH and for a DCC model. The first uses the VECHMAT option on GARCH to convert the calculations to VECH form, which can be applied to other models such as a BEKK with effectively no change.
Detailed Description
Detailed Description