8. Estimate the GARCH DCC model for the bivariate systems from question 7. Set the starting values...
Question:
8. Estimate the GARCH DCC model for the bivariate systems from question 7.
Set the starting values to α =0.05 and β =0.9. Plot the dynamic correlations.
Calculate and plot the 1-day, 1% VaRs for the CCC model from question 6 and the GARCH DCC model.
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Related Book For
Elements Of Financial Risk Management
ISBN: 9780121742324
1st Edition
Authors: Peter F. Christoffersen
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