How to interpret the outputs of DCC Multivariate GARCH

Hello everybody,

I want to run a dcc.m code of the MFE Kevin Sheppard toolbox by giving the following code:

[PARAMETERS,LL,HT,VCV,SCORES]= dcc(DATA,[],1,0,1)

I've got 4 variables (see attached file). By runing the code, everything goes well and I get the estimated parameters in "PARAMETERS". But I'm having difficulties in understanding the outputs "VCV" and "SCORES". The explanations in the code are not sufficient.

I know that a DCC Multivariate GARCH is designed as follows:

DATA=H(t)^1/2*epsilon(t)

H(t)=D(t)*R(t)*D(t) and R(t)= diag[Q(t)^1/2] * Q(t) * diag[Q(t)^1/2]

where R(t) peresents the conditional correlation matrix.

I want finally to plot the dynamic correlations, in other words I have to plot the values of the R(t) matrix. But where is the R(t) in the outputs of this code?

Can anybody help me please?

Answer 1

[Lorenzo Orlando]

VCV is the correlation matrix of parameters, needed to calculate standard errors as sqrt(diag(VCV)).

Answer 2

[Weidong Lin]

Actually the Rt is in the output of the function dcc_likelihood(), which is used inside of the dcc(). If you want to display the Rt, just simply add 'Rt' into the output option, i.e., [parameters, ll ,Ht, Rt, VCV, scores, diagnostics]=dcc(...)

Hope it works for you.

[Zhitao Zhou]

Hi, I am doing CCC GARCH model forecasting. Do you know How could I do the one-step-ahead forecasting after I fitting the model with ccc_mmvgarch.m file?

Answer 3

[RP]

Hi,

I am using matlab 2017 version. I have 1 query that is MFE-toolbox additionally installed in matlab 2017 version?

Please suggest.

[Weidong Lin]

Just download the toolbox from Kevin's page. Then open your Matlab and type 'pathtool' in the command window, add the folder and subfolder of the MFE toolbox into the path.

Always check the path every time you see any errors when you use the toolbox.

[RP]

Thank you. It works.