The RATS Software Forum

Let's say I have two series: x and y.

For DCC, the rho equation should be

Q_t = (1-a-b)Q0 + a*shock_x*shock_y + b* Q_t-1

Why the WinRATS does not show the Q0?

Or, this Q0 is exactly equivalent to the rho12 of CCC model?

Q0 is the unconditional covariance matrix.

Thanks for your reply.

If this Q0 is the unconditional covariance matrix, how do I extract it?

It is not shown in the output.

Thanks in advance.