Quasi correlation in DCC-GARCH in STATA?

01 January 1970 1 4K Report

Hi,

When estimated the DCC-GARCH in stata at the end of the output pairwise quasi correlations are given. What does it mean in practice? is it the mean value of dynamic correlations or something else?

Much appreciated if anybody could clarify this.

Kind regards

Thushara

Roque Pinto de Camargo Neto

Dear SC Thushara,

I'm not sure about your question, but I think I've read about it in:

https://pdfs.semanticscholar.org/b1cd/c8da3b994606ba4f96b8e0577e26f8dccd29.pdf?_ga=2.30146879.1241071524.1551216901-578234132.1551216901

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