Hello,
I have problem with saving parameters, errors and t-stats of DCC-GARCH.
I haven’t found the proper function in MGARCH Member Function List to save parameters, standard error and t-statistics to XLS file.
G@RCH 5.0 help file gives functions, but they are for GARCH. MGARCH::GetPara saves parameters value only.
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In GARCH class we have functions:
GARCH:: GetPara - Constructs the parameters vector errors and their t-statistics
Garch::GetParEs - Returns a m_cPar x 3 matrix with the parameters estimates, their standard errors and their t-statistics. It is used together with SAVEPAR to store estimated parameters of a given model in an external file (Microsoft Excel spreadsheet).
In MGARCH class we have only:
MGarch::GetPara - Returns a vector containing the values of the parameter of the model. (Values only.)
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Could you, please, recommend me what I have to add at the end of DCC-GARCH (1,1) estimation program.
For the bi-variate DCC-GARCH (1,1) I need to save values, standard errors, t-stats of the parameters displayed in the table below.
Equation 1. Equation 2. Dynamic Correlation Model (Engle)
Cst(M) Cst(M) rho_21
Cst(V) Cst(V) alpha
ARCH(Alpha1) ARCH(Alpha1) beta
GARCH(Beta1) GARCH(Beta1)
Thank you.
Best regards,
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