Q0

[garchrookie]

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?

[moderator]

Q0 is the unconditional covariance matrix.

[garchrookie]

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.