Multivariate GARCH DCC Estimation

In this video tutorial, we will demonstrate the process of Multivariate GARCH DCC Estimation using OxMetrics 6. Multivariate Garch can be elaborate in the following written tutorial from: https://vlab.stern.nyu.edu/doc/13?topic=mdls Definition of Multivariate GARCH Consider n time series of returns and make the usual assumption that returns are serially uncorrelated. Then, we can define a vector […]