I have already estimated my DCC GARCH parameters and forecasted covariances on a rolling window basis. Now I want to use CCC GARCH forecasted covariances on the same rolling window basis as a threshold. I have two questions regarding the CCC correlation matrix:
I know that the correlation matrix for CCC is supposed to be constant but in a rolling window it should change with each window based on the data in that window right?
What are the practical steps to calculate the CCC one step ahead correlation matrix?
Thanks in advance!