kenjina/DCC-GARCH-and-Diebold-Yilmaz
In this repository, DCC-GARCH and Diebold-Yilmaz approach is carried out using the R software. DCC-GARCH model is used to estimate the dynamic correlation between ASEAN countries stock indexes. Diebold-Yilmaz approach is used to estimate the spillover between ASEAN countries stock indexes.
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