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The use of MFE toolbox in DCC GARCH

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tilfani oussama
tilfani oussama 2019-9-24
评论： Murat Akdag 2020-4-10
I would like to perform a DCC GARCH model to a time series, with MFE toolbox. For simplicity, let say a bivariate case. I would like to ask the following questions, which i don't find directly in the code:
  1. I understand that "parameters" means the estiamted parameter of the DCC model. However it is not clear, to what coresponds each of them in the model specification?
  2. From the results, with a standard DCC GARCH (1,1), where are the significance tests?
  3. How to obtain the matrix of estimated correlations.
Thank you

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