The RATS Software Forum

Thank you!

Dear All

1. Is there a command to display AC, PAC, with specified number of lags and the corresponding Q-Stats and p-value in a table format? If there is, please let me have it!

2. Is there a command to plot a Probability plot for standardized residuals? need it too!

TOM,
I seem to be getting some results with the following code

garch(robusterrors,p=1,q=1,mv=dcc,pmethod=simplex,piters=10,hmatrices=hh,rvectors=rd) / dinfl dexch dinte

I guess am on the right path?

I will back!

THANX TOM,
Any help with an example as you do?

Thank you TOM, After ready through the ROBUSTERRORS options in the manual could not apply it to my codes: Where and how do I apply it given the codes below? DATA(FORMAT=DTA,BOTTOM=289,RIGHT=3) 1990:01 2013:12 infl exch inte set dinfl = 100.0*log(infl/infl{1}) set dexch = 100.0*log(exch/exch{1}) set ...

TOM, I have a problem with the normality assumption. My BEKK and DCC model meets all adequacy tests such as MV ARCH effects and autocorrelation but fails the normality test since p=value of MVJB is 0. Is the model still valid? If yes, how do I interpret it? Thanx

Hi Tom, Thanks for all your help! I tried computing the MAE but could not! In the file attached, the authors used RATS for the entire work. On page 41, the computed MAE for correlation and volatility forecast as a way comparing. That is exactly what I want to do! 2. In that same work, they plot esti...

Thank you very much!

Whats are the codes for MAE etc to enable me evaluate the fitting performance of models?

What are the command for AIC, BIC, SIC for BEKK and DCC models? Thank you