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st: different mgarch vcc predicted variance results on different pc's
From
[email protected] (Rafal Raciborski, StataCorp)
To
[email protected]
Subject
st: different mgarch vcc predicted variance results on different pc's
Date
Fri, 25 Oct 2013 09:19:06 -0500
We found out that the update to Stata 13 dated 19sep2013 affected -predict-
after -mgarch vcc- in the following way:
1. When option -variance- was specified, -predict- would produce conditional
correlations. The predicted conditional correlations were not correct.
2. When option -correlation- was specified, the predicted conditional
correlations were not correct.
We will fix this in the next ado update.
-predict- after -mgarch ccc-, -mgarch dcc-, and -mgarch dvech- is unaffected.
-- Rafal
[email protected]
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