可以用stata 做
webuse stocks
mgarch dcc (toyota nissan = , noconstant) (honda = , noconstant), ///
    arch(1) garch(1)
predict H*, variance
tsline H_nissan_toyota H_honda_toyota H_honda_nissan if t>1600, ///
    legend(rows(3))

执行程序参考下列网站的程序代码和图形：

http://stats.stackexchange.com/questions/41282/dynamic-conditional-correlation-in-stata/2#2