Someone know what quasi correlations are in a DCC GARCH output. I am familiar with the Pearson correlation, always between -1(perfect negative) and +1(perfect positive). In my output I have a quasi correlation of 1,6 between 2 indices. The command that I runned:
mgarch dcc (var1 var2 = , noconstant), arch(1) garch(1) constraints(1 2)
Best Answer
In my experience (seismic data analisis) the Quasi Correlation of traces a and b (signal a and b) is defined as 2 times the dot product and divided by the quadrant of the norm of a trace a plus the square of the norm of a trace b square.