The RATS Software Forum

If I reduce it to 2 breaks given the size of my longest series, how long will it take?

Dear Tom, I've tried working with the LPUnit using the following options: BREAK=TREND NBREAKS=3 GRAPH As i am uusing the entire observation i didn't include the start and end dates. I tested for US and GERMANY Series So the command is: LPUnit(BREAK=TREND,NBREAK=3,GRAPH) US After letting it run for s...

Dear Tom,

DOH idiot

Once again sorry for dumbness

It helps if you're not tired!!

Many thanks for the short cut

Thanks,

Bachar

Dear Tom,

Thanks for the short cut but I keep getting the following error:

SET corr_ad %regstart() %regend() = %cvtocorr(hh(t)(1,2))
## SX22. Expected Type REAL, Got SYMMETRIC[REAL] Instead
>>>>tocorr(hh(t)(1,2))<<<<


Bachar

doh, Idiot!! :oops: sorry about that error that'll teach me to double check. I meant to type: GARCH(P=1,Q=1,MV=DCC,RVECTORS=RR,HMATRICES=HH) * 2007:12:31 ADPRICE DDPRCE FDPRICE GDPRICE IDPRICE PDPRICE SET corr_ad 1 1435 = hh(t)(1,2)/SQRT(hh(t)(1,1)*hh(t)(2,2)) GRAPH(STYLE=LINE, HEADER="Correlat...

Dear Tom, Many Thanks for your help Let me just make sure that I understood the procedure correctly. GARCH(P=1,Q=1,MV=DCC,RVECTORS=RR,HMATRICES=HH) * 2007:12:31 ADPRICE DDPRCE FDPRICE GDPRICE IDPRICE PDPRICE SET corr_ad 1 1435 = hh(t)(1,2)/SQRT(hh(t)(1,1)*hh(t)(2,2)) GRAPH(STYLE=LINE, HEADER="C...

Dear sir or madam, I am using the following: GARCH(P=1,Q=1,MV=DCC,RVECTORS=RR,HMATRICES=HH) * 2007:12:31 ADPRICE DDPRCE FDPRICE GDPRICE IDPRICE PDPRICE I know that HH gives me the Covariance matrix which allows me to access the covariance to plot the graph. for example: SET cov_ad 1 1435 =hh(t)(1,2)...

Dear Tom,

Thanks ever so much for your help.

Bachar.

Dear Tom, Firstly, I'd like to thank you for your reply, Secondly, it seems to work with the BEKK model which i used to model the volatility spillover effect. However I do agree with you that the behaviour of the series do change dramatically after 2007. As you said there is an issue, and when I mod...

Dear all, I am new to RATS but have been using econometrics models for approximately 5years, however my work have been in univariate models. So in essence I bought RATS to model the covariances and correlations in a multivariate environment. I am using WinRATS Standard Edition 8.21 on a six core 12g...