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Someone know what quasi correlations are in a DCC GARCH output. I am familiar with the Pearson correlation, always between -1(perfect negative) and +1(perfect positive). In my output I have a quasi correlation of 1,6 between 2 indices. The command that I runned:

mgarch dcc (var1 var2 = , noconstant), arch(1) garch(1) constraints(1 2)

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  • $\begingroup$ Please read the Stata time series [TS] pdf manual. Quasi-correlations are very well explained in the manual on page 250 (in the section marked "Technical note"), together with literature references. $\endgroup$ Nov 13, 2012 at 18:21
  • $\begingroup$ Thank you!! already read that. But in my model i find a correlation of 1,6 between 2 indices. is it not that the correlation must be between -1 and +1? Regards $\endgroup$
    – M.Assad
    Dec 4, 2012 at 12:23

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In my experience (seismic data analisis) the Quasi Correlation of traces a and b (signal a and b) is defined as 2 times the dot product and divided by the quadrant of the norm of a trace a plus the square of the norm of a trace b square.

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