Dear Statalist,
I am doing my dissertation now about the contagion between return prices: UK and US. And follow the literature, I should apply the DCC-GARCH model. I have been looking for the command of this model from stata.com. The independent variables are the lagged of return from the UK and the return of US prices, the dependent variable is the return of UK prices. I am using DCC-MGARCH in stata 15 and it comes out:
Array
I wonder my command and result are appropriate or not? What is the exact command for the DCC-GARCH model?
Thank you for spending your time to read this post.
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