The RATS Software Forum

Thank you again Tom I will try to do it that way

Thank you very much for your prompt reply, I was using Simplex which I shouldn't as I final method.
Do you have reading suggestions on forecasting with the old code?

Dear all, I run a multivariate GARCH-X and I use the old GARCH code for a BEKK GARCH with nonlin, and frml commands for the parameters. The output of the GARCH estimation looks like this Variable Coeff Std Error T-Stat Signif **************************************************************************...

Tom thank you for very much your helpful comments, Return series start from 2 and end to 1000 so the inputs for the VAR(1,1) should start from 3 (i.e. time+2) (since I lose one observation from the lag) and end at the end of the subsample (time+ss) I think that if I use the garch command with the mo...

Dear All, I have set up the following rolling VAR-BEKK GARCH. I want to use the first 600 return data to make some forecasts from observation 601 to 901. Although it runs fine, I am not sure if it restricts my sample to where I want to in every loop. Thank you for your time and help. *Loading Data a...

I am looking for code on time varying cointegration of Bierens and Martins (2010). Thank you, Dimitris Herman J. Bierensa1and Luis F. Martins, 2010. "Time varying cointegration", Econometric Theory, 26, 1453-1490. http://econ.la.psu.edu/~hbierens/TVCOINT.PDF http://econ.la.psu.edu/~hbieren...

Thank you Tom, worked perfectly!

Dear all,

I would like to ask if there is a way to obtain the significance level of a parameter from the GARCH estimation.
I am looking for something like %tstats but instead of the tstatistics to get the p-value.

Thank you,

Dimitris