London School of Economics
FM 321 Classwork Lecture 5
2. 3. 4. 5. 6. 7.
Multivariate Conditional Correlation Models
Copyright By PowCoder代写 加微信 powcoder
Get historical prices from two stocks of your choice, convert them into log returns, and de-mean the log returns.
Estimate the GARCH(1,1) conditional variance for each stock. Estimate a moving average conditional correlation with WE=100. Estimate a EWMA conditional correlation with lambda = 0.94. Estimate a BEKK(1,1) model for the two stocks.
Estimate a DCC model for the two stocks. Compare the your results graphically.
程序代写 CS代考 加微信: powcoder QQ: 1823890830 Email: powcoder@163.com