I'm trying to run a bivariable DCCGARCH(1,1) model using Eviews . I have tried the Eviews add-in for DCCGARCH and whenever I run the model, Eviews stops working. Please any idea as to what I should do. Thanks in advance.
That addin works on Eview 8 or higher.
Also, recent versions of Eviews have included ARCH method in their estimation settings.
You can also try STATA where you can explicitly selec DCC model.
I'm using Eviews 9. I'm not familiar with STATA but I trying to see if I can understand commands.
Usually the problem because software , better you re-install eviews.
It works better on stata
Beside STATA, R is another option. R is free and has extensive packages including packages for DCCGARCH.
One example in Stata: wti and brent are log returns of daily oilprices
mgarch dcc (wti = L(1/3).wti L(1/6).bren1 )(bren1 = L(1/3).wti L(1/6).bren1 ), arch(1/1) garch(1/1) vce(robust)
You may visit eviews forum download code for the same, modify according to need and run the code.
Please visit the following link
http://forums.eviews.com/viewtopic.php?t=574#p1924
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