GARCHDCCFORECAST—Forecast of DCC Model

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

GARCHDCCFORECAST—Forecast of DCC Model

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GARCHDCCFORECAST is an example of out-of-sample forecasting of a DCC GARCH model. DCC has no closed form for forecasting so this uses a two-step approximation.

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Last bumped by TomDoan on Thu Jun 26, 2025 10:34 am.
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