The RATS Software Forum

Dear all, based on the codes posted aove, I estimate the following: system(model=simplevar) variables a b lags 1 det constant end(system) garch(p=1,q=1,model=simplevar,mv=cc, pmethod=simplex,piters=20,iters=1000) In addition, I want to include the lagged residual and lagged variance of series b in t...

Thank you very much!

Has anyone here tried to compute the modified information share model (MIS) proposed by Lien and Shrestha in the Journal of Futures Markets (2009) in RATS?

Any help will be greatly appreciated!

I want to compute information shares for a data set of spot prices x and futures prices y. First, I estimate this: @johmle(lags=10,det=constant,vectors=direct,dual=dual) # x y compute alphaperp=%xcol(dual,1) compute beta=%xcol(direct,1) compute betaperp=%perp(beta) compute cstar=betaperp*tr(alphaper...

Thank you very much! That works fine - but the results seem a bit odd.
How can I use the cointegrating vector (1; -1) as you suggested instead?

Dear all, I am estimating the follwoing VECM where x is a spot price and y the corresponding futures price. @JOHMLE(LAGS=10,det=rc,cv=cvector) # x y equation(coeffs=cvector) eq # x y constant system(model=vecm) variables x y lags 1 to 10 ect eq end(system) estimate I would now like to use Granger ca...

Dear all,

Is there any chance I could use this code/ the Hasbrouck method for more than two variables? I want to examine one spot and two futures markets and find out where price discovery takes place.

Thank you very much!

Best,
Jeanne

That was a left-over from an old model - sorry. I tried without it but still get the same error message. When I replace the variance of the msci index with its spotreturn, I also get the same error message. Even trying to start at observation 10 instead of 2 or 3 does not help. However, when I inclu...

That is very true - I am sorry for this and edited my first post to include what does NOT work.
Thank you very much!

Dear all, I am estimating GARCH models using the MAXIMIZE command as I need to include a dummy variable and an additional control index in my variance equation. *************************************************************************************************************************** clear(ALL) open...

Thank you so much for your help and prompt reply!
Yes, I deliberately chose both the start and end to shrink with each estimation. It is just an experiment...

Dear all, I am running a rolling regression based on the garch-command. Without success, I have been trying to save one of the coefficients for each window into a vector. The following command works fine BUT only saves the very last beta(1) and not a series of coefficients (one for each i = 1,2,…): ...