Recent content by Mellonsane

You can find such a parameter test on page 36 of Engle's paper: http://pages.stern.nyu.edu/~rengle/Dcc-Sheppard.pdf Here the values in parentheses are the T-Statistics, but I don't know how to estimate them. I'm sure that it's simple...

. Sure, the test for a pearson correlation is easy. But how can I test the parameter alpha, beta, omega? I could not find anything about that. And if you google then you will just find tests for the correlation coefficient. I used a DCC-GARCH-model to describe the correlation between two...

. Hi again, I've got another question regarding GARCH. After guessing the parameters in excel I now can calculate the correlation for my two assets. I'm just wondering how to test these parameters (with a t-test?), like you can find in literature? Does anybody know how to show that my...

Hi again, I want to calculate the correlation between stocks and bonds. And therefore I need a DCC-GARCH. Engle divides it in two processes. One is the variance of both assets. And the second is the correlation (I was wrong with covariance...). The variance is clear and simple to...

Thanks, I've already ordered that book. But I think it will take while until I'll receive it. Anyway, I read that article and can't follow when they estimate the covariance. I also have calculated the variances of two stocks with the standard GARCH-model. Now I need the covariances...

Hi, I need some correlation data for my final thesis. And to consider the problems with assuming normal distributions, I want to estimate GARCH-covariance matrices. The thing is, that I just know how to estimate the volatility. And therefore I have the parameter sets for both...