The RATS Software Forum

I see. This does it, great! Most obliged TomDoan, thanks.

Thanks TomDoan, however I am not sure I understand how to add the lags of u in the frml. The problem I have is that I need to estimate the model through the maximize command because my garch specification is non-standard (it includes two time dummies multiplied with u^2_t-1 and h_t-1). Let me show y...

Hi there, I am new at RATS, just picked it up two days ago so my question might be naive. I am trying to estimate a GJR GARCH model with an ARMA structure in the mean equation. I am using the FRML command, but I get an error message that FRML cannot handle MA terms: ## NL4. FRMLs Cannot Have Moving ...