The RATS Software Forum

Hi Tom,

Thank you for your advise. I will try and hope it works.

Best,
Chihyueh

Hi Tom, I actually did fit the model before doing the loop forecasting, but I did not copy the initial value correctly in the last file. However, it seems like my model is very sensitive to the setting of initial value and the sample data, since it does not converge from the 2nd point during the loo...

Dear Tom, Thank you for the help. I have successfully run the code. Now, I tried running the code for forecasting, but I got this error message '## M7. Untrapped Floating Point Error: Overflow or NA The Error Occurred At Location 6407 of loop/block Line 165 of loop/block' I have uploaded both code a...

Dear Sir/Madam, Recently, I tried modifying my old anst-garch model into a new version in order to run the forecasting programme, which is a bivariate anst-garch with BEKK specification, and I included two period lagged terms(t-1,t-2) in the mean equation. When maximising the log likelihood function...

Dear Tom, I set SS/SS because it's ATM options. In that case, S equals K. I found one data point has the TT=0, as a result, F=0, sigf=0, opvalue= NA. However, after I exclude this data, I found it still runs "strangely" ( only one iteration and no pre-iteration). I'll use a simple data to ...

Dear Tom, I'm really thankful for your previous help. Now, I develop the model into a more complicated one and encounter a problem. I attached the model in the word and following is my code. open data TD3monthc2.xls CALENDAR(irregular) data(format=xls,org=columns) / TT r S A X **********************...

Dear Tom,

It works.
I'm very Thankful for your help.

Dear Tom, I revised the code today. The 2nd part is put into FUNCTION in this code, but the error message still exists. Would you please help me find which part is wrong? Thank you very much. dec real L k o sigx nonlin L k o sigx function opvalue p type real opvalue type integer p local real pp iii ...

Dear Tom, I revise the code I use the function to do the summation integral p I want to set it as different time, just as the code "compute mdate=maturity(bond)" in BONDS.rpf Because there is only one variable ii in my equation so I only wrote "compute iii=ii(p)" dec real L k o s...

nonlin L k o sigx compute M = 100 function opvalue p type real opvalue type integer p *integral=opvalue compute pp = 0 while pp<100 { compute opvalue = (1/M)*exp(2*o*sin(2*%pi*(pp*L/M)))*exp(-2*k*(ii*(1-pp)/M)) compute opvalue = opvalue + opvalue compute pp=pp+1 }end while This has all kinds of pro...

Dear Tom, I follow the BOND.rpf to revise my code while there an error message that I cant solve. 1 part to set an loop of summation dec real L k o sigx varx M nonlin L k o sigx compute M = 100 function opvalue p type real opvalue type integer p *integral=opvalue compute pp = 0 while pp<100 { comput...

Thanks for response. In fact, I'd like to estimate the four parameters in the equation, as following L k o sigx are four parameters equation : ec = exp(-r*TT)*(S*%cdf(d1)-S*%cdf(d1-(varf^(0.5)))) d1 = (log(S/S)+0.5*varf)/(varf^(0.5)) varf = varx*exp(-2*k*(TT))*integral integral = summation from t=0 ...

Hello, I want to do a summation but I don't know how to do it Following is my initial code. I don't know how to write a loop to do the summation. Could anyone help me? dec real L k o sigx dec series intergral(i) nonlin L k o sigx varx compute M=100 frml integral = (1/M)*exp(2*o*sin(2*%pi*(i*L/M)))*e...

TC_C1.xls I try to do a VECM-GARCH(1,1)model. However, the series correlation problems become more serious when I add more lag terms. I've tried to use the BHHH method and change the parameters, p and q. I want to ask how to adjust in order to solve this problem. Thanks. open data TC_C1.xls CALENDA...

I want to estimate a bivariate EGARCH with BEKK estimation. I wander if the bivariate EGARCH model can be estimated by BEKK, because most bi- and multivariate EGARCH doesn't contain the covariance in the covariance matrix. Futhermore, if EGARCH model can't be estimated by BEKK, Is there another way ...