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: 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? From the results, with a standard DCC GARCH (1,1), where are the significance tests? How to obtain the matrix of estimated correlations. Thank you

The use of MFE toolbox in DCC GARCH

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tilfani oussama 2019-9-24

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https://ww2.mathworks.cn/matlabcentral/answers/481862-the-use-of-mfe-toolbox-in-dcc-garch

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:

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?
From the results, with a standard DCC GARCH (1,1), where are the significance tests?
How to obtain the matrix of estimated correlations.

Thank you