Setup
        . webuse stocks, clear

    Fit a VAR(1) model of changes in toyota and honda, allowing for ARCH(1) errors
        . mgarch dvech (toyota honda = L.toyota L.honda), arch(1)

Example of mgarch dcc

    Fit a VAR(1) model of changes in honda and nissan, allowing for ARCH(1) and GARCH(1) errors
        . mgarch dcc (honda nissan = L.honda L.nissan), arch(1) garch(1)