I'm trying to investigate common patterns in conditional volatility for 28 sectoral series with 249 observations in each series with a multivariate DCC-GARCH model with the command "mgarch dcc" in Stata. However, it´s only generating results for 8 sectors and when I try to increase the number of sector, the follow message appear:
"matsize too small
You have attempted to create a matrix with too many rows or columns or attempted to fit a model with too many variables. You need to
increase matsize; it is currently 400. Use set matsize; see help matsize.
If you are using factor variables and included an interaction that has lots of missing cells, either increase matsize or set emptycells
drop to reduce the required matrix size; see help set emptycells.
If you are using factor variables, you might have accidentally treated a continuous variable as a categorical, resulting in lots of
categories. Use the c. operator on such variables."
If anyone has an idea on why it ́s handling only very few sectors, I would be grateful
Related Posts with DCC Garch
Truncate Y-axis with twoway function graphHi, folks. I've been using Stata for data management and analysis for quite a few years, but I've re…
Pooled-Cross Sectional Data - nhis_alcohol.dtaHello, I am writing an Empirical Paper on the effect of alcohol on labor market outcomes. The data i…
Regression and heteroskedasticityGood day everyone! I am just starting my path and learning use of Stata. Can someone help me to sol…
Reshaping my datasetGood evening, I would like to ask a question about my dataset: This is how my data look like Code:…
VARNAME dialog elementDear All, While programming a dialog one can use an option numeric for the VARNAME dialog elements,…
Subscribe to:
Post Comments (Atom)
0 Response to DCC Garch
Post a Comment