The RATS Software Forum

TomDoan wrote:I can't diagnose a convergence problem without the data and full program. Did you successfully fit a TBEKK without asymmetry?

Dear Tom,

I got it! The TBEKK with/without asymmetry both are successful. Thank you very much for your help.

Since you're not using GARCH, the %NVAR variable (which dimensions the ZU VECTOR) is never set. Just add compute %nvar=4 before you start doing the diagnostics. Dear Tom, Thank you very much. I also try to estimate the Asymmetric Standard BEKK (Full BEKK) using GARCH instruction and also MAXIMIZE i...

Dear Tom, Sorry to bother you again. Please help me with the following problem regarding the multivariate diagnostic test: ##MAT5 dec vect[series] zu(%nvar) do time=%regstart(),%regend() compute %pt(zu,time,%solve(%decomp(h(time)),%xt(u,time))) end do time ## MAT5. Needed Matrix with Dimensions 0 x ...

Dear Tom, Thank you for quick reply. Unfortunately I don't have RATS version 8.3. Yes you are right. Tsay does a set of univariate diagnostics and also multivariate diagnostics for the case of time-varying correlation models (tsayp524.rpf) but not full BEKK. Anyway, I refer to RATS v8 User's Guide f...

Dear Tom, Is it possible to extend the BEKK Triangular model to include assymetry? Doing either one with the code you provided is easy, but together I haven't been able to figure it out. Yes, but, because of the forced p.s.d. nature of the calculation, the asymmetry in a BEKK gives you a (fundament...