GARCHMVBOOTSTRAP—Multivariate GARCH bootstrapping

[TomDoan]

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

g10xrate.xls

Data file (included in RATS v8 distribution)

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