The RATS Software Forum

Are there inbuilt RATS procedures that would help in replicating the following paper on non-generic fractional GARCH variants that helps in discerning between spurious and true long memory? True or spurious long memory in volatility: Further evidence on the energy futures markets Energy Policy Charf...

I tried running Sharpe's Returns Based Style Analysis framework using nonlin function in RATS. I used this because I need to impose two restrictions on a multiple regression. I am regressing monthly returns of a mutual fund (dependent variable) with four passive portfolio indices (independent variab...

Dear Tom I have been using RATS for quite some time now. Having said so, I am not all that good in programming. I tried writing a code for rolling hurst technique, wherein a) my input prices for an instrument are converted into logarithmic returns b) a rolling Ar(1)-GARCH(1,1) of fixed length (1000)...

I understand that @Bicorrtest and @hurst procedures in RATS can be utilized to execute Hinich Bicorrelation test and Classical R/S test respectively. I have come across many papers in journals such as International review of Financial Analysis, Physica, Journal of International Financial Markets Ins...

Thanks a lot Tom, I now removed the last time series and then ran a DCC-GARCH(1,1) with 4 time series. No negative ARCH or GARCH coefficients. Sum of all ARCH and GARCH coefficients for each of the 4 time series is less than one. Instead of GARCH model I tried to model the 5th time series separately...

Hi Tom I am trying to run a DCC-GARCH model involving 5 time series. One of the five univariate GARCH models that constitute the preliminary step of DCC-GARCH estimation procedure yield a non-negative insignificant GARCH coefficient. The coefficient of all ARCH terms (total terms 5) and the rest of ...

Dear Tom & Hasanov

I am currently looking for the the RATS code for the Modified ICSS algorithm.

Would greatly appreciate if you could help me in this regard.

Hoping to hear from you