The RATS Software Forum

Hi Tom, how would you efficiently modify the code so that instead of minimising variance s.t. target expected return, you maximise the Sharpe Ratio and pull out those weights? Many thanks In PORTFOLIO.RPF, you would need to add the lines in red to save the portfolio weights. This will create a VECT[...

Hi there,

does anyone have the code for the CAViaR paper attached?

Thank you.

Hi Tom, thanks for the suggestion. Unfortunately, it won't work as I have to sum over days to compute realized monthly returns. My code below perhaps makes it a bit clearer. The %IF instruction works fine but it is not clear to me how to start from September run to December and set the month index b...

hi there, I am trying to compute the realized monthly returns where months have irregular number of days (between 20 and 22 days). I have tried several alternatives of looping over dates such as the test code below but nothing seems to work as the date index once it reaches the last day of the month...

Hi Tom,

very useful code but could you please confirm that the following line is correct?

compute hvech=%%vech_c+%%vech_a*hvech+%%vech_b*hvech+%%vech_d*%vec(hasymmsq)

I cannot understand why %%vech_a and %%vech_b both multiply hvech. Shouldn't %%vech_a multiply the squared error vector u?

Thanks.

Hi Tom, I am using @MVGARCHFore.src with mv=standard to get about 10,000 one step ahead forecasts. The code works fine for the first 3000 forecasts and then gives the following error message: ## MAT2. Matrices with Dimensions 3 x 3 and 0 x 1 Involved in * Operation Error was evaluating entry 3529 Th...

Hi Tom,

thanks for this.

I was after a bivariate garch extension. Is this possible?

Thanks

Hi there,
I could not find any code that extend the Markov Switching GARCH model of Gray (JFE, 1996) to the MV-GARCH context. Could you please help with RATS coding this model given in pg.477-478 in the paper attached?

Thank you