Hi everyone,
I am trying to find the predicted residual and variance of rolling window with mgarch dcc model, the command I use is:
rolling , recursive window(1549) clear: mgarch dcc ( INDEX EQUITY =, noconstant) , arch(1) garch(1)
predict R*, residual
predict V*, variance
unfortunately Stata return ' last estimates not found ',please can anyone help, thank you.
I am trying to find the predicted residual and variance of rolling window with mgarch dcc model, the command I use is:
rolling , recursive window(1549) clear: mgarch dcc ( INDEX EQUITY =, noconstant) , arch(1) garch(1)
predict R*, residual
predict V*, variance
unfortunately Stata return ' last estimates not found ',please can anyone help, thank you.
