Thank you Tom for your replay, I will try to look first at univariate model.
Could you explain me one more thing, I am really new with RATS software, and I willing to understand it.
I am interested in the data file dija.txt and cannot understand how you got logret and logrange? You calculated it?
Search found 3 matches
- Fri Oct 28, 2011 2:53 pm
- Forum: ARCH and GARCH Models
- Topic: Jump GARCH model
- Replies: 24
- Views: 47553
- Fri Oct 28, 2011 2:05 am
- Forum: ARCH and GARCH Models
- Topic: Jump GARCH model
- Replies: 24
- Views: 47553
Re: Jump GARCH model
Hi, I am using bivariate EARJI-EGARCH jump model similar to Chan in article above, but I do not know how to do codes in RATS, maybe somebody could help me? in attached file you will find model estimation and results I would like to obtain in my paper work. Have you checked with the authors about ge...
- Thu Oct 27, 2011 7:02 am
- Forum: ARCH and GARCH Models
- Topic: Jump GARCH model
- Replies: 24
- Views: 47553
Re: Jump GARCH model
Hi,
I am using bivariate EARJI-EGARCH jump model similar to Chan in article above, but I do not know how to do codes in RATS, maybe somebody could help me? in attached file you will find model estimation and results I would like to obtain in my paper work.
I am using bivariate EARJI-EGARCH jump model similar to Chan in article above, but I do not know how to do codes in RATS, maybe somebody could help me? in attached file you will find model estimation and results I would like to obtain in my paper work.