The RATS Software Forum

Hi Tom

i would like to know how to obtain the IRF (impulse response fucntion) in the case of the MSVECM as in the paper by
Francis and Owyang ?

Hi Tom

which line of the code should i change if i need to extend to identified VAR (structural VAR) rather than unrestricted VAR as it is the case here?

Hi Tom

Any advice on how to obtain the confidence (95% for example) band for this VIF?

Hi Tom I am currently trying to replicate a paper: "Rodrigues, J.C. (2007). Measuring financial contagion: A copula approach, journal of emepirical economics,14, 401-423." by using my own data. The main idea of the paper is to find dependence of conditional volatilities in high and low reg...

Hi tom

Thank you for your prompt response
1. I write the code at the end of the programme.
2. I want to obtain all the time series for conditional volatility (ARCH) related to the different regimes. they are more than 2000 observations.

Regards

Dear Tom I am trying to display the conditional variance according to the different regimes for the first programme (DUEKER-SWARCH). I use the followings: set momo = gv(1)*h(i) graph # momo i have an answer: missing operator or adjacent operator. please can you help. I will also like to display the ...

Hi Tom I experience a problem from graphing the residual obatined from a DCC GARCH. I believed that I was coorect with this part of the code: ... garch(p=1,q=1,model=varh,mv=DCC,asymmetric,pmethod=simplex,piters=10,hmatrices=hh,$ rvectors=rd) graph(footer=" ") # rd(t)(1) ... In order to gr...

Hi Tom Need to have more clarity on the interpretation of the output from BEKK GARCH estimation. First a quick estimation of the following: garch(p=1,q=1,mv=bek,xreg,pmethod=simplex,piters=10,hmatrices=hh,rvectors=rd) / y(1) y(2) y(3) y(4) y(5) # dum ( the idea was to see the spillover effect of DUM...

Dear Tom I would assume that the option hmatrices=hh should be included in the GARCH model, especially in the case of a GARCH-M where the mean equation should include hh. therefore I have two questions: 1. what is the meaning of unadjust=%pt(u,t,rv(t)). 2. How to include the variance in the mean equ...