by Patrick Burns.
Abstract: This brief note offers an explicit algorithm for a multivariate GARCH model, called PC-GARCH, that requires only univariate GARCH estimation. It is suitable for problems with hundreds or even thousands of variables. PC-GARCH is compared to two other techniques of getting multivariate GARCH using univariate estimates.
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Chapter 32 of Tao Te Programming advises you to make bricks instead of monoliths. Here is an example. The example is written with the syntax of R and is a [...]
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