The RATS Software Forum

See Section 4.6 in the RATS v8 User's Guide for a discussion of named PARMSETS. You need it to list the free parameters in your base GARCH model, which would appear to be A0, A1, A2, G and D. Are you basing this on a published example of an ARJI-EGARCH model? In Chan and Maheu, the jumps are Normal...

Hello Tom,

Just some clarification.

From Table 2 in Elder and Serletis (2010), does G1(1) and G2 (1) correspond to the constant; G1(2) and G2(2) correspond to E_i(t-1)^2; and G1(3) and G2(3) correspond to H_t i (t-1)?

The Gs are estimates from RATS.

Thanks

Hello Tom,

Thanks a lot. I have been able to get it to converge. I used "logl gstart+4 gend" and it worked.

Thanks a lot.

Hello Tom, I have checked the code and I think all the variables are initialised. it now run without the syntax error. The only problem is that the estimation cannot converge. I have increased the number of sub-iterations, introduce npal (criterion value=value, CVCRIT=0.00000001)before maximize(.......

Hello Tom, I tried applying the RATS code of Bollerslev and Mikkelson(1996) to equity data and when i got to "maximize(parmset=meanparms+garchparms,trace,iters=500) logl gstart gend" I received the following error message "## SR10. Missing Values And/Or SMPL Options Leave No Usable Da...

Thanks Tom,

I would ask the department to buy an upgrade.

Dear Tom,

I tried to run the code on the data provided in the package by your outfit and I found syntax errors. Please find the codes and embedded syntax errors attached.

Tom, I would be very glad if could help in fixing the syntax errors.

Gorgorm

Hi Tom, Yes, I wanted to replicate the Chan and Maheau paper in a symmetric GARCH. As you rightly pointed out the EGARCH assumes a Generalised Error Distribution (GED) structure for the errors. Given the that the jumps in the Chan and Mehaeu model are normal, I will drop the idea. Thanks a lot Tom f...

Hi Tom, I replaced nonlin(parmset=garchparms) omega alpha beta frml hf = omega+alpha*u{1}^2+beta*h{1} with the syntax for the symmetric GARCH below but it did not work. set v start end = %seesq set u start end = res frml et = r1-b0-b1*r1{1} frml xt = u/sqrt(v) frml zt = abs(xt)-exp(%lngamma(2/d)- $ ...

Hi Tom, I would be grateful if you could modify the Chan and Maheau (2002) ARJI-GARCH to an ARJI-EGARCH model. Because the GARCH impose restrictions on the parameter and does not allow the variance to oscillate, I decided to use an ARJI-EGARCH. The problem is I am having challenges modifying the cod...

Tom,
Thanks for the quick reply.
After running the code, I got an estimate.
I want to know whether the estimate as per code is the standard errors OR
the square root of the number of observation which I should use to calculate the t-stats.

Thanks

Dear Tom, Thanks for the reply. I need further help. I am working with time series return data which I have also adjusted for nonsynchronous trading. I want to run a correlation test between the return data and the adjusted data to find out if the correlation between them is statistically significan...

Dear Tom, I have estimated the MVAR-EGARCH due Koutmos and I tried to check whether the correlation between the variables are significant. the RATS command cmoment( corr, print ) # r1 r2 r3 r4 ---------- for the vaiables cmoment( corr, print ) # xi xii xiii xiv ------------ for the standardized resi...

Dear Tom, I friend gave me a Bivariate VAR-EGARCH code and it include endogenous variable with a dummy. I have tried to reduce it to a model for two series variables ( withouth the endogenous variable cx and cx_sqrd ) and a dummy without success. I would apprecate it if you could help me in this reg...