22 December 2018 5 213 Report

HI,

In a DCC-GARCH(1,1) model (dependent variable is first difference of logarithm of the series) based on monthly data,

1. How do you interpret unconditional and conditional correlation in a DCC-GARCH model?

2. Is it possible to get a correlation matrix (like the unconditional correlation matrix, without correlation for each month and pair) for conditional correlations? or we just need to present the data using a conditional variance graph for each pair?

Much appreciated your comments/advice on this.

Kind regards

Thushara

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