DYNAMIC CONDITIONAL CORRELATION – A SIMPLE CLASS …
Then univariate GARCH models are estimated for some or all of these and the full covariance matrix is constructed by assuming the conditional correlations are all zero. More precisely, find A such that y t = Ar t , E(y t y t ') ≡V is diagonal. Univariate GARCH models are estimated for the elements of y and combined into the diagonal matrix V ...
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