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I want to estimate the dynamic conditional correlation GARCH in stata 12. I just ran the following line:

mgarch dcc (x y =, noconstant) , arch(1) garch(1)

The x and the y variables are log first differences from two price series.

My questions are as follows:

  1. Does anybody know how I obtain the parameter estimates for the elements of Ht?
  2. Is it correct that I directly put the log first differences in this model or should I first obtain the residuals from a AR model?
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  • $\begingroup$ Actually you need to prewhiten the series before running the model. Usually this is done by fitting a VAR model and applying the DCC GARCH model to the residuals of the VAR, or estimating both models in one-step. I'm not sure how to do it in stata, but you can do this one-step estimation with the rmgarch package in R. $\endgroup$
    – Regis A. Ely
    Commented Feb 2, 2016 at 11:41

1 Answer 1

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  1. Type predict H*,variance
  2. I think log first differences or other types depends on your purpose of setting model, not relevant with Dcc model.
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