The RATS Software Forum

Hi Toam, yes you're right,I tried to simplify but I made a mistake, please replace the whole code with the following one (it works). the dataset is the same. calendar(m) 1980:1 all 2011:12 open data 'd:\dati\Ricerca\Petrolio\Risk_appetite\monthly time series RND\dati_sp500.xls' data(org=obs, format=...

Here is the code: calendar(m) 1980:1 all 2011:12 open data 'd:\dati\Ricerca\Petrolio\Risk_appetite\monthly time series RND\dati_sp500.xls' data(org=obs, format=excel) set rend = sp_500/sp_500{1}-1 table / com startm = 1990:1, endm = 1999:12 com numdens = 12 do count = 1, numdens @archtest rend start...

the whole sample is 22 years of daily returns, my subsample is just 10 years. Can't Rats handle this data reduction for garch models?

Hi, I'm running a GJR(1,1)-MA(1)-m with returns distributed as a student's t. It works fine on the whole sample, but if I try to run it on subsamples it gives this (same result if I impose the sample with "sample start end" or directly inside the garch): GARCH Model - Estimation by BFGS Co...

sorry, here is the new dataset

Yes your're right, I did the arch test with a larger sample but then I used a smaller one and I didn't repeat it for that. For a sample of daily returns starting from June 2,2009, to June 24, 2011, the arch test rejects the no arch effect null hypotesis, and using for example a GJR(1,1)-M, the BFGS ...

Hi, this is my first post on this forum!And I'm also new on Rats, so please be patient..! I'm trying to estimate the real-world historical density of WTI crude oil spot price, 20days-ahead with respect of the last day of the sample. I'm using a sample of 130 daily log returns ( rend ), and I'm foll...