Hello R group, I'm using the tseries package to forecast variance and I would like to do the same with correlation.
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and I want to predict the correlation matrix, how can I do that?
You cannot. A (standard) Garch is univariate, correlation requires a multivariate model. There is a cottage industry of papers on multivariate Garch out there, but the problem is hard (in both a statistical and numerical sense). Tell your employer to buy a commercial risk management package. The better ones include something like this. Dirk
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