The RATS Software Forum

Hi Tom, I am wondering how can I find the significance level of the results of autocorrelation in the returns' time series which Ljung-Box test gives to me in a GARCH model? Regards My codes are as follows: OPEN DATA "C:\Users\aixia\Desktop\46+2 individual price - Copy" DATA(FORMAT=XLS,ORG...

Hi Tom, I've been trying to write it in this way, but when I check its value in the view-series window, it shows no data of this variable...

Hi Tom,

What I mean is the conditional return auto-correlation, which here in my case is the value of b2+b3*v. And can I ask again the first question whether the time series of %varince is the conditional variance? If so, I acutally can calculate its value simply in excel.

Regards

Hi Tom, Can I ask whether the "set v = %variance" and its corresponding series in the views-series window is the conditional variance in the GARCH model? And how to get the result of conditional auto-correlation in GARCH model? Many thanks, Aixia OPEN DATA "C:\Users\Laptop\Desktop\A-s...

Hi Tom,

I run the same program with pre-event and post-event data separately, thus the estimated results of each coefficients are in two different files. My question is how can I apply Wald tests on the equality of pre- and post- estimated coefficients ?

Many thanks,
Aixia

TomDoan wrote:Figure out the entry number that corresponds to the date that you want. Then construct the dummy with

set ssmt = t>=mybreakentry

Thanks a lot Tom, the problem is solved.

What is this supposed to do? set ssmt = t>=2010:03:31 You have CAL(I), so there is no date mapping to resolve that. Do you have something in the data set to let you determine the date associated with an entry? (BTW, don't you have zero standard errors in the MAXIMIZE output for some of the paramete...

Hi Tom, I try to use restrict instruction to test for equality constraints between two coefficients, but RATS keeps reporting mistakes like this: The Error Occurred At Location 1302, Line 39 of loop/block 127231104 Position 157 ## X13. Redundant Restrictions. Using 0 Degrees, not 1 Chi-Squared(1)= 0...

Hi Tom, Is the following codes correct? I always get a mistake report as # SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points OPEN DATA "C:\Users\aixia\Desktop\S10 Chinese data resources" DATA(FORMAT=XLS,ORG=OBS) / S10 CALENDAR(I) compute gstart=1,gend=%nobs set r1 = S10 ...

I guess the differences is, even with very small probability,in economics term, zeros in log difference returns could be explained as ' the stock is traded in the real market, but the closing price occasionally keeps unchanged'. So I adopt the Chinese supplier's data to avoid deleting this type of z...

Hi Tom, I get the data from a Chinese data supplier. Unlike Data-stream, in the Chinese supplier's data set, the certain amount of four or five consecutive non-trading days, which are caused by the national holidays, have already been excluded. The current problem is when I try to run the data, the ...

So many thanks Tom. It does work.
Will save me a lot of time.

best wishes,
Aixia

Hi Tom, There are 500 stocks series, named as S1 S2 S3 etc... in my excel spreadsheet. I want to get regression result of each of them separately. Is that possible to input all the name of these 500 series at once time and finally get their results altogether? That will save a lot of work. My curren...

Hi Tom, Can I ask for the code of basic EGARCH variance equation? The build-in function cannot serve my aim, since I need do some extra changes to the original equation. I write EGARCH(1,1) as follows, but it seems wrong. The basic variance equation of EGARCH(1,1) is: log(σt^2)=ω+α*|ε(t-1)|/σ(t-1) +...

Thanks Tom. The first code works fine.