The RATS Software Forum

Hi, I was wondering if anyone has written the code for Engle, Gallo, and Velucchi (2008) "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," SSRN Working Paper? It is based on the MEM originally developed by Engle (2002) in "New Frontiers for ARCH Models&q...

Got it. I have a 10 x 10 matrix and I was interested in the spill from column one to row two. So I inserted this statement in the rolling window analysis, just below compute spillvols(end)... compute tovol2(end)=100.0*gfevdx(2,1) I also needed to initialize the series with "set tovol1 rstart+ns...

Thanks Tom,

Yes, I figured out that the needed values were in "gfevdx", so I'm trying to add code to pull them out of that matrix and into series' during each iteration.

Tim

Hi, I just started looking at this since I am also interested in using the 2011 program. I believe Frankie is referring to Figure 6 in DY2011 where they create and chart the time series of net pairwise volatility spillovers. I will try to modify the code to extract these variables. Any other suggest...

Thanks Tom,

I will try that.

Tim

Hi, I am interested in examining volatility spillovers among 3 stock price series, while accounting for asymmetric volatility. When I run each of the univariate series separately, the asymmetric coefficient is negative and significant (as expected). But when I try to run the multivariate estimation,...