Asymmetric Dynamic Conditional Correlation in Matlab

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Davide 2014-8-7

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https://ww2.mathworks.cn/matlabcentral/answers/146642-asymmetric-dynamic-conditional-correlation-in-matlab

评论： Obaidur Rehman 2017-9-10

I need to interpret the results of the estimation of the A-DCC model by Cappiello, Engle and Sheppard, 2006, Journal of Financial Econometrics. I used the Matlab routines of the MFE Toolboox http://www.kevinsheppard.com/MFE_Toolbox in this form:

parameters = dcc(data,[],1,1,1,[],[],[],[],'2-stage')

where data is a 100x2 matrix, hence the estimation is performed on two variables observed 100 times. The output "parameters" is a vector of 10 components. Unfortunately I am not able to derive a precise expression of the model and hence to interpret the parameters. The help of the routine says:

OUTPUTS:
  PARAMETERS   - Estimated parameters.  Output depends on METHOD.
                   3-stage: [VOL(1) ... VOL(K) corr_vech(R)' vech(N)' alpha gamma beta]
                   2-stage: [VOL(1) ... VOL(K) corr_vech(R)' alpha gamma beta]
                   where VOL(j) is a (1+P(i)+O(i)+Q(i)) vector containing the parameters  from volatility model i.

Which is the volatility model i? Unfortunately the documentation on the A-DCC model in the MFE toolbox page is missing.

Something more is said in the end of the help:

      2-stage:
      Q(t) = R.*scale + a(1)*e(t-1)'*e(t-1) + ... + a(m)*e(t-m)'*e(t-m)
      + g(1)*v(t-1)'*v(t-1) + ... + g(l)*v(t-l)*v(t-l) + b(1)*Q(t-1) + ... + b(n)*Q(t-1)
 where v(t,:) = e(t,;).*(e(t,:)<0) and s = sqrt((1-sum(a)-sum(b)-gScale*sum(g))) and scale = s*s'

Q(t) should be a 2x2 matrix and hence a(1), b(1) and g(1) should be 2x2 matrices. My problem is to find how the element of the three matrices are linked to the entries in the vector PARAMETERS.

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Lorenzo Orlando 2017-6-14

did you solve the problem? I have the same problem here, but I only got 9 parameters

Obaidur Rehman 2017-9-10

Hi Lorenzo,

Did you manage to figure it out? I think I have managed to figure out on how to interpret the results, however I am struggling to follow the difference between the 2-stage estimation versus 3-stage estimation.

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