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st: Time-varying correlation - IGARCH(1,1) or similar GARCH model


From   "Abos, Lóránd" <l.abos@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Time-varying correlation - IGARCH(1,1) or similar GARCH model
Date   Wed, 23 Oct 2013 22:23:50 +0200

Dear All,

I would like to calculate the pairwise time-varying correlation between two indices (stock & bond) using IGARCH(1,1) or a similar model (maybe mgarch vcc) in Stata.

Basically I have two columns of data, but I am still not sure on the exact code to calculate the each correlation (coefficient) and the way of retrieving the results into spreadsheet.

Your kind help will be highly appreciated.

Best Regards,
Lorand
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