The RATS Software Forum

Dear Mr. Doan, A recent paper Murasawa (2016) "The Beveridge-Nelson Decomposition of Mixed-Frequency Series: An Application to Simultaneous Measurement of Classical and Deviation Cycles", Empirical Economics Implements a gibbs sampler to deal with mixed frequency data. Ox code and data are...

Dear Mr. Doan, Let's suppose I have two series (futures and spot prices), and let's assume a vector error correction model with a garch-bekk is an appropiate model. My preliminary code looks like this. ****estimate the VECM-GARCH-BEKK @johmle(lags=2,det=rc,cv=cvector) # Futures Spot equation(coeffs=...

Let's say I would like to evaluate some a bit exotic likelihood functions. Like in this paper: Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions (2011) at: http://www.bepress.com/snde/vol15/iss3/art6/ Actually I would like to replicate that paper using RA...

Hello, I was trying to replicate using RATS the example 9.8 of Taylor's book Asset Price Dynamics, Volatility, and Prediction. On this one he does a GJR-GARCH(1,1) in mean with a MA(1) regressor on the mean. The data he uses are returns of SP100 so I called the series RETURNSP. If I would like to do...

Second that. Great idea.

Dear Tom, Thanks for your quick reply. I have two further questions. When we add the asymmetric option to the garch function for the full bekk. i.e. garch(p=1,q=1,mv=bekk,asymmetric,...,pmethod=simplex,piters=5,...) / xjpn, xfra (or any other variable) Then which version are we getting the positive ...

Dear Tom,
Is it possible to extend the BEKK Triangular model to include assymetry?
Doing either one with the code you provided is easy, but together I haven't been able to figure it out.