The RATS Software Forum

thank you so much Tom,
Best

Sorry about that, it is my miscoding,
Thank you so much Tom,
But after defining std residuals, for LB(Q) test I enter the below code and then I got the below error

## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points

I applied the following code for std residuals after estimating Koutmos VAR-EGARCH code, but it gives the below error... set z1 %regstart() %regend() = rd(t)(1)/sqrt(hh(t)(1,1)) set z2 %regstart() %regend() = rd(t)(2)/sqrt(hh(t)(2,2)) set z3 %regstart() %regend() = rd(t)(3)/sqrt(hh(t)(3,3)) set z4 %...

Actually, I am new to VAR-EGARCH model.
I searched the manual and also the forum, but didn't get any diagnostic code for VAR-EGARCH..
I am just trying to get the same results as in Prof. Koutmos's study.
Could you help me, please?

Thank you..

Hi Tom,
I applied Prof. Koutmos' VAR-EGARCH code to his study sample and I am able to verify his results. But I couldn't run diagnostic tests for this VAR-EGARCH model.
Could you help me about that, please?

Best,

Dear Tom,
Thank you so much for all your help,
I can not express my appreciation.

Best,
Ibrahim

Hi Tom, The below is the code bivariate GARCH BEKK model. I applied this code to VECM residuals. garch(p=1,q=1,mv=bekk,method=bfgs,iters=200,pmethod=simplex,piters=10,$ hmatrices=hh,rvectors=rd) / ise sp Then for standardized residuals I applied the below code, set z1 %regstart() %regend() = rd(t)(1...

Hi Tom, The Q statistiscs p values are for 18 lags at my last post. If I select below lags, the p values are like 0.995 rather than 1.0000 My problem is selecting the lag order for Q statistics. I have intraday 1 minute data and also daily and weekly data. The intraday data sets includes at least 10...

Hi Tom, Thank you very much for the instructions. As you said, I examined the related pages in the user guide. And applied the LB-Q and LB-Q^2 tests to standardized residuals. But after applying the below code; set z1 = rd(t)(1)/sqrt(hh(t)(1,1)) set z2 = rd(t)(2)/sqrt(hh(t)(2,2)) I get an error as s...

Hi Tom, Thank you so much for detailed explanation. Actually, first I estimated a VECM model and save the residuals. Then I just ran these residuals in a MGARCH BEKK model in RATS with the below code. garch(model=varmodel, p=1,q=1,mv=bekk,method=bfgs,iters=200,pmethod=simplex,piters=10, resids=m) I ...

Thank you so much Tom, I really appreciate your help. One more question about bivariate VAR(1) EGARCH results. After checking diagnostic tests, LBQ for u(1) is insignificant but LB-Q for u(2) is significant. Although I specified different VAR models, diagnostis test has never changed. Actually, I do...

Tom, Please ignore the results at my last post. I solved the results error and got new results as seen below for a bivariate egarch model. For this model, "B" coefficients reflect return spillover and "A" coefficients reflect volatility spillover, right! And B(1)(2) means own lag...

Hi Tom, I tried to adjust your four variable code to a bivariate system. And just changed the below codes as seen. After I run the code, I have the below results. Is something wrong here? I am confused about the results. compute n=2 * * Define the return series * dec vect[series] r(n) compute start=...

Hi Tom, Actually, I want to see the volatility spillover between spot and futures markets with VECM MGARCH BEKK model. And I applied the below code to different data sets. Except one data set, all the models LB-Q and LB-Q^2 tests are insignificant, and also p value of ARCH LM tests is insignifincat....

Thank you Tom,
By the way the VAR system error is solved.
I appreciate your help.
Ibrahim