Hi,

I am trying to estimate the conditional correlation using a bivariate MGARCH-VCC model (Tse and Tsui). I am able to run my code:

mgarch vcc (kt_m kt_f = L(1/2).kt_m L(1/2).kt_f), arch(1) garch(1)

However, when I run the next code: predict condcorr, correlation, I would get an error message. That is, when I try to predict the conditional correlation, I would get an error. The error message is "option correlation not allowed".

I would appreciate any help offered! Really need some advice on this issue!!!

Thank you.