The RATS Software Forum

The attached code estimates the MGARCH-M through the recursive (expanding) windows. We set one-lag VAR for the mean model. We fix the initial date and keep increasing the sample size in each recursive window until the end of the sample. We set the increment to 5 observations. It saves several parame...

Thanks for being a big help!

Hi Tom,
Would it be possible to combine threshold VAR (with multiple breaks) with the BEKK variance-covariance? My intention is to capture the different regimes.
Any idea is appreciated.
Thank you

Thank you! This is what I was thinking.

The modified version of the ICSS test is now available in RATS through the @ICSS procedure with robust option.
Example,
@ICSS(ROBUST, signif=0.01) series

Hi Tom, What is the purpose of writing the variable names (e.g., rvar1, rvar2, rvar3 in the code chunk below) right after the garch instruction? Does it have any effect on the computations? garch(model=varmah, mv=bekk, robust, distrib=norm, rvectors=rv, hmatrices=hh, mvhseries=hhs, pmethod=simplex, ...

Thank you!
I will try with FORECAST instruction then.

In our paper (written below) published in Energy Economics, we used four variables. Usually, even in the four-variate case, estimations take too long until it achieves the convergence due to the curse of dimensionality in the BEKK model. Things become more complicated if the estimations were done wi...

Thank you for your reply!
What if I remove the "M" from the model?
How can I achieve the forecast computations through the loop?
Regards

Hi Tom, The following piece of code works fine to forecast Ht matrix elements. @MVGarchFore(MV=BEKK, steps=step) hh rv * do i=1,step compute hhat11(regend+i) = hh(regend+i)(1,1) compute hhat22(regend+i) = hh(regend+i)(2,2) compute hhat12(regend+i) = hh(regend+i)(1,2) end do i In addition to the abov...

Hi Tom, I removed the loop part of the code to understand the following issue. ## MAT14. Non-invertible Matrix. Using Generalized Inverse for SYMMETRIC. The Error Occurred At Location 651, Line 59 of MVARCHTEST C:\Users\Public\Documents\Estima\WinRATS Std 10.0\mvarchtest.src Line 87 Would you please...

Is that the following without 'noprint' option?

@mvarchtest(lags=5, print)
# zu
compute mvarch(regend) = %CDSTAT
compute mvarchsignif(regend) = %SIGNIF

Thanks for your reply !! I am using the recursive (i.e., expanding) window with a three-variable model. Initial estimation window size is 2300 observations then it increases by 5 in every iteration until it reaches 3850. The problem arises when multivariate skew t and/or t distributions are used in ...

Hi Tom, I am using @mvarchtest within the loop: @mvarchtest(lags=5) # zu compute mvarch(regend) = %CDSTAT compute mvarchsignif(regend) = %SIGNIF I am facing the following issue after some the loop calculations: ## MAT14. Non-invertible Matrix. Using Generalized Inverse for SYMMETRIC. The Error Occur...

Hi Tom,

As indicated in the User's Guide, @MVGARCHFore procedure produces out-of-sample variance forecasts for many standard MGARCH models. Does this also apply to MGARCH model estimated with skew t distribution ?

Thank you