The RATS Software Forum

Dear Tom

Thank you very much for your help. I now have my VAR-GARCH results.

I wonder whether I can do Granger causality tests to analyse the coefficients from the VAR system (mean equations)? Can you help me with the coding please?

Many thanks,

Jessie

Dear Tom, Thank you for your recommendations. I followed the sample programme and obtained the graph. However, when I did the Ljung-Box Q-stats, it gave me the following error messages: "## I2. Expected Instruction Here >>>>@regcorrs(Ð<<<< ## CP18. REGCORRS is not the Name of a PROCEDURE. (Did ...

Thank you very much for the reply. I have a few more questions regarding the VAR-GARCH(1,1). 1) When I got my results, it says 'NO CONVERGENCE IN 41 ITERATIONS'. I read in a RATS handbook that I need to use NLPAR when the convergence problem occurs. However, I am not sure where to add this in the co...

Tom, thank you for your help again. Regarding inserting a third variable into the code, I added it in the VARIABLES line as you suggested. Do I have to change the correlation computation and the residuals to account for the third variable too. I did the following. Could you please confirm whether it...

Thank you so much Tom. Is it possible to change this code to do a VAR-GARCH? I don't need the error correction term. I tried changing all the instructions where it has vecm to var e.g. "system(define=vecmmodel)" to "system(model=varmodel)" and "garch(model=vecmmodel..."...

Hi I am using a trivariate VAR-MGARCH model to analyse volatility spillovers in my dissertation. I obtained the RATS codes from the author of a journal article that used a VECM-GARCH. However, I have never used RATS before and do not know how to alter the code from a bivariate VECM-GARCH model to a ...