GARCHMVDCC2: RATS program to demonstrate multivariate GARCH using 2-stage DCC

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Demonstrates multivariate GARCH with two-step DCC estimator. Engle(2002), "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," JBES, vol 20, no 3, 339-350.

Language: RATS
Requires: RATS 11.00
Keywords: Multivariate ARCH-GARCH; DCC model (search for similar items in EconPapers)
Date: 2026-01-02
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Related works:
Journal Article: Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models (2002)
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