UCSD - GARCH Package of Kevin Sheppard. Multivariate GARCH models
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Hello! I'm trying to use MV-GARCH model from UCSD package but I always have errors that are related to the data type.
For example : ??? Undefined function or method 'dcc_mvgarch' for input arguments of type 'double'.
I don't know a lot in MATLAB so can somebody explain to me how to change the data type and why it doesn't work?
As a data I have a 5000x10 matrix of residuals of rt=mu+et model. Is it ok?
Can somebody just show me a little example of how it works?
Thank you for all your help!
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Accepted Answer
Oleg Komarov
on 1 Apr 2012
You have to add the the folders (and subfolders) where the package is to the MATLAB path:
File > Set path > Add with subfolders
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More Answers (4)
Maria
on 1 Apr 2012
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Oleg Komarov
on 1 Apr 2012
There's no guarantee MATLAB implements user defined functions. Also, no sure method to find potential analogs.
Try searching the FEX for other user defined functions that may suit your needs.
Garth Mortensen
on 28 Sep 2012
My thesis applied MVGARCH to two return series. I put all my work and code online so others can benefit.
https://sites.google.com/site/garthmortensenthesis/
I hope it helps.
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Abdelrazzaq
on 1 Dec 2015
Dear all; In order to estimate the ADCC, can anybody please tell me the order of the functions in need to call to estimaate the model? please help
Is it enough to call the function DCC to get the dynamic correlation, if so then which output will give me the dynamic corr series, so i can use further in my regression
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