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st: Time-varying correlation - IGARCH(1,1) or similar GARCH model
From
"Abos, Lóránd" <[email protected]>
To
[email protected]
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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