VCV matrix from ADCC GARCH

[vb83]

Hi,

I am using this code to run ADCC GRACH correlations between monthly returns of can and rest of the variables. I have large number of countries in my sample. I have two questions: First, how can I estimate correlation between all of them? Second, I am seeking to extract the variance-covariance matrix from it to use as an input for portfolio optimisation. How can I extract the variance covariance matrix?

* scaling of the returns by 100
set dlogcan = 100*can
set dlogaus = 100*aus
set dlogden = 100*den
set dlogaut = 100*aut
*
garch(mv=adcc,pmethod=simplex,piters=10,hmatrices=hh) / dlogcan dlogaus dlogden dlogaut
*
set canaus = %cvtocorr(hh)(1,2)
set canden = %cvtocorr(hh)(1,3)
set canaut = %cvtocorr(hh)(1,4)
*
print(window='CAN with AUS) / canaus
print(window='CAN with DEN) / canden
print(window='CAN with AUT) / canaut
*

Many thanks.

[vb83]

Any help with the above query please?