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st: Interpretation of quasicorrelation in DCC MGARCH estimation


From   KREISER Swetlana <[email protected]>
To   "<[email protected]>" <[email protected]>
Subject   st: Interpretation of quasicorrelation in DCC MGARCH estimation
Date   Mon, 12 Aug 2013 18:44:14 +0000

Dear all,

for my Master thesis I am estimating conditional covariances using the DCC MGARCH model. The conditional variance-covariance matrix is time-varying and estimates of its elements are obtained by using predict. But I am not sure how to interpret the quasicorrelation from the output table. Especially, what should I conclude if the estimate of the quasicorrelation is insignificant?

I would appreciate any help!

Thank you very much!

Kind regards,

Swetlana

-- 
The University of Edinburgh is a charitable body, registered in
Scotland, with registration number SC005336.


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