The RATS Software Forum

Ok Tom, will do.

thanks

eq.jpg Hi Tom , I am trying to use RATS to estimate the coefficients for the above GJR Garch specification, used by Bohl & Brzeszczynski, 2006 in the attached article. But I am facing some difficulties with the instructions, The following is what i have so far, but how about 1.jpg and 2.jpg how...

ok

Thanks Tom,
I will give it a try.

Hi Tom :D , I have been trying to replicate this paper ( see below ) for quite some time, but I am have some difficulties. Like them, I want to use the Kalman Filter -smooth to get a the resiliency series; then do some sort of regression. I suspect the state and observation equation in the paper is ...

okay,
Thank you!

You are right, no more error!
But, what about a constant Tom?
Should I include that since I take out one dummy variable?


appreciate your help
sulong

Hi, When I run these instructions @lsdvc(met=ah) retuns #MO TU WE TH FR I get the following output. retuns are daily stock retuns, while MO,TU, WE, TH and FR are dummies for days of the week. Why do I get the error? What did I do wrong? Can i still use the output? Thanks, sulong The Error Occurred A...

Thanks, I will try to fix that.

Hi All, I am trying to model the following process (Bohl & Brzeszczynki, 2006, Int. Fin. Markets, Inst. and Money 16 (2006) 370–383 ) Bohl.jpg I have written the following code, but it doesnt seem to work. Would be grateful for any help. set h =0.0 set temp =0.0 set u = 0.0 set R = sreturn nonli...

tom, why do we need to include the following instructions in the code?

set uu = %sigmasq
set h = %sigmasq

I am trying to modify the GARCHUVMAX.RPF to fit a GARCH(2,1) without the AR(1) in the mean model. Did i make a mistake - the output differs form that generated by GARCH(P=2,Q=1) / DLOGDM Thanks Tom. linreg dlogdm # constant frml(lastreg,vector=beta) meanf nonlin(parmset=meanparms) beta * set uu = %s...

Tom, What is wrong with my instructions ( please see below )? The output i get is different from the output generated from the GRACH instruction. I am trying to use the MAX instruction for a GARCH(1,1) process. Many thanks, sulong OPEN DATA "/Applications/RATS 8.0/Examples/garch.asc" DATA(...

hi Tom,

is it possible to model the following variance equation using the GARCH instruction?
How can i do that?


thanks
sulong.