The RATS Software Forum

Did you do "Edit-Show Last Error" to see where the error occurs? Offhand, it looks like your @MVARCHTEST lines are formatted wrong. Dear Dr Thomas Doan Thank you very much. That problem comes from the empty cell in excel. I used the same sample for this short series. About @MVARCHTEST, I ...

Dear Dr Thomas Thank you very much. The following program is fine for other data (more than 3000 observations) but it report ##MAT15 as shown in the output below. Could you please advise the reason and solution? Is is problem come from 1325 observations for this program? Thank you Hung. * VARMA-MGAR...

Dear Dr Thomas Doan Thank you very much. Could you please tell me the commands to get the Mean and Variance values of standardized residuals z1 and z2 and their p_values? * VARMA-MGARCH-asymmetry BEKK model. OPEN DATA "C:\BasicM.xlsx" CALENDAR(D) 2000:1:4 Allocate 2014:1:31 DATA(FORMAT=XLS...

Dear Dr Thomas Doan Thank you very much for your detail explanations. More about the VARMA(1,1), VARMA(2,1), VARMA(1,2) and VARMA(2,2). How should I change EPS and SQRTH in these commands : det constant eps(1){1} eps(2){1} sqrth(1) sqrth(2) OR det constant eps(1){1} eps(2){1} eps(1){2} eps(2){2} sqr...

Dear Dr Thomas Doan Thank you very much for your reply. But the thing is that I cannot figure out the what estimates comes from what parameters from Rats output. For example the positions: 1,2, 10,11 and 3,4, 12,13 from the below output from VARMA (1,1)- GARCHM-assymetric BEKK (data is the same as m...

Dear Dr Tom Doan I'm very new with RATs so please help me with the simple question. I try to estimate bivariate VARMA(1,1)-GARCH-asymmetric BEKK model. However, I got some difficulty reading the report. I'd like to do some Hypotheses testing such as: Diagonal VARMA, no GARCH-M as shown in Rahman and...