The RATS Software Forum

I know: “When I add the xregressors option, the same set of regressors are included in all variance equations.”

Let’s say I have two series x and y.

However, if I have mv=DCC or mv=CC, and I add the “xregressors” option with a variable z.

I understand the z variable will be added in both the variance equations of x and y.

How about the rho equation? Does the rho equation contain this variable z?

As we have CC or DCC, I do not have the covariance equation. I only have a rho equation.

Will the variable z be included in the rho equation for this case?

Not. It adds the regressor only to the individual variances. There isn't any way to add shift variables to the CC or DCC equations using GARCH. You'd have to use a MAXIMIZE setup.