The RATS Software Forum

Jansen and Mahel (2010) have a Bayesian nonparametric approach.

http://qed.econ.queensu.ca/paper/maheu.pdf

Alternatively, codes for a Bayesian approach of the VARMA-GARCH-M could help me.

http://ideas.repec.org/a/kap/compec/v21 ... 65-85.html

Yes, I have two references, but none for a BEKK model.

1 Long, X.; Ullah (2005)
https://editorialexpress.com/cgi-bin/co ... per_id=127
2 Audrino, F.; Barone-Adesi, G. (2011)
http://doc.rero.ch/lm.php?url=1000,43,6 ... A_2006.pdf

The component GARCH of the model. Apparently the standardized residuals are not Gaussian. In this context, semiparametric (nonparametric) estimators for variance can be more efficient than the quasi-maximum likelihood estimators. I intend to compare the results.

Yes I have. Here's the code that I'm working. all 133 open data dados(ipa2).xls data(format=xls,org=columns) / juros cambio compute n=2 compute gstart=4,gend=133 * dec series[vect] yv dec frml[vect] residv dec vect[series] u(n) * * The paths of the covariance matrices and uu' are saved in the * SERI...

Dear,

I need to estimate a VAR-GARCH-M (BEKK) using nonparametric or semiparametric methods. Where can I find RATS codes for it.

Vinícius dos Santos Cerqueira