Exogenous variables in DCC model
Posted: Tue Aug 19, 2008 12:04 pm
Dear all,
I am currently working on a bivariate Dynamic Conditional Correlation (DCC) model, and i wanted to add an exogenous variable to this model so that it enters the conditional variance equations as well as in the GARCH process for the conditional correlation. I wondered if anyone on this discussion forum might know how to implement this using the built-in "GARCH" instruction in WinRATS 7.0.
I would be most grateful if anyone could help me (or point me in the right direction) with this. Thanks in advance.
I am currently working on a bivariate Dynamic Conditional Correlation (DCC) model, and i wanted to add an exogenous variable to this model so that it enters the conditional variance equations as well as in the GARCH process for the conditional correlation. I wondered if anyone on this discussion forum might know how to implement this using the built-in "GARCH" instruction in WinRATS 7.0.
I would be most grateful if anyone could help me (or point me in the right direction) with this. Thanks in advance.