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Results tagged with multivariate-analysis
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user 318491
Analyses/models where there is more than one response (dependent) variable. Commonly confused with "multiple" or "multivariable" analysis, which has more than one predictor (independent) variable.
2
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1
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Interpretation of dccalpha and dccbeta in DCC-GARCH model
I've used DCC-ARMA(1,0) -GARCH(1,1) to model green bond co-movement with some other marekts. In the output, I get the parameters "dccalpha" and "dccbeta". However, I do not know how to interpret these …
- 57
1
vote
1
answer
344
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Implications of insignificant dccalpha and dccbeta for DCC-model used for co-movement analysis
I'm using a DCC-ARMA(1,0)-GARCH(1,1) model to investigate co-movement of the green bond market and other markets. The ARCH/GARCH parameters of the univariate ARMA(1,0)-GARCH(1,1)models are significant …
- 57