10 January 2019 2 9K Report

Hi

I've estimated a DCC-GARCH(1,1) model using STATA. at the end of the stata output, correlation matrix is given and it is also called quasi correlation matrix. Is it the conditional correlation matrix or a different one? if so is it the average/mean value of the dynamic conditional correlations?

Much appreciated if anybody clarifies this.

(I've herewith attached the output)

Kind regards

Thushara

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