Multivariate GARCH

magriz · August 21st, 2009, 1:05 pm

Hi,I'm trying to extend Engle's DDC to the AGDCC of Cappiello,Engle and Sheppard in matlab (using Sheppards DCC toolbox). The extension from DCC to ADCC works pretty fine. But next step to AGDCC (estimating specific parameters for every asset) I always get wrong results. Does anyone have already build the AGDCC in matlab and can give me any hints or maybe the code?Best regards,magriz

lausaneskirt · September 6th, 2011, 6:37 am

Hi Magriz,Is it possible for you to kindly send me the file for the ADCC matlab file?Many thanks in advance and best regards,Here is my emailcharlzen@hotmail.com

Alan696 · September 8th, 2011, 12:45 pm

Did you constraint your parameters at all?

Alan696 · September 8th, 2011, 12:48 pm

As posted before :Tue Aug 30, 11 11:56 PM Did you backtest a general GJR-GARCH framework? Do you get good results for impulse response and forecasts?-ADCC(L,S,U)model: G = g1/2,A = a1/2,B = b1/2 you're also right about the positive definitiveness of the var-covar matrix