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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
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