The RATS Software Forum

Looking for code of Markov regime switching GARCH model proposed by Alizadeh, A.H., Nomikos, N.K., Pouliasis, P.K., 2008. A Markov regime switching approach
to hedging energy commodities. J. Bank. Financ. 32, 1970–1983

Regards,
Irfan

Dear Tom,
I will calculate MAE using the difference between forecast variance and squared of returns. I just want to check the correction of outliers makes forecast more accurate than outliers contaminated series.

Regards

Dear Tom, I want to compare the forecast performance of same model using Raw data and cleaned data. Let suppose that I have two stocks (SP500 and FTSE100) returns and I estimated bivariate GARCH model for both Raw and Cleaned data. I want to forecast conditional variance of both stocks and wants to ...

Dear Tom, I estimate Bivariate MGARCH model two times. One for raw returns and other for adjusted returns. I wants to compare forecast performance of model of variance ( H1 and H2). As it is not possible to forecast from VAR-GARCH model. Is it possible to forecast variance using other multivariate G...

I want to compare the performance on the basis of forecast variance

Regarads

dear Tom, Hello. I want to compare the forecast performance of model using unadjusted and outliers returns series. I estimate VAR-MARCH with variance=VARMA. How can I get the forecast of 60 days? If not possible then what should I do to compare the performance? If I estimate the model like BEKK then...

Dear Tom Thanks for your guidance. I am asking you again and again because I am working on a project in which I have to estimate weight, hedge ratio and then a forecast of volatility as well. I want to forecast volatility using bivariate VAR-GARCH model of McAleer. I could not understand the command...

Thanks Tom for your kind replies Yes, Sadorsky used the latter formula to calculate the weights and hedge ratios and I used the following formula to calculate the weight and hedge ratios SET W_1 = %min(1,%max(0,((H(1)(1,1)-H(t)(1,2)/(H(t)(1,1)-2*COV_1_2+h(t)(1,1))))) stat W_1 SET HR1 = H(t)(1,2)/H(t...

Dear Tom, Hi, I estimated Multivariate GARCH model and wants to calculate portfolio weights and hedge ratios. the model is garch(p=1,q=1,model=varma,mv=bekk,pmethod=simplex,rvectors=rd,hmatrices=hh,piters=10,iters=500,asymmetric) I use this formula to calcutae weights which is set weight = (hh(t)(1,...

Dear Tom, I just correct the outliers from the series then estimate the model again. The number of parameter to be estimated in both unadjusted and adjusted returns models remains the same. For example, AR(1)-GARCH(1,1) model. The number of parameters to estimate are 5. So for adjusted and unadjuste...

Dear Tom, My question is, let suppose I have a data set of returns of any security. I estimated AR(1)-GARCH(1,1) model for series and record LLH. Then I apply any detection and correction method for outliers and correct some observatins that was detected by the method I apply. Now again I estimate A...

Hello everyone, I have data with outliers and without outliers of same financial series. Suppose I estimate the AR(1)-GARCH(1,1) separately on both series and come with different values of Log Likelihood values of both models. I want to apply Likelihood ratio test to compare the models and select th...

Dear Tom,
Thanks for your comments and now my question is for diagnostics testing which standardized residuals I have to use? Because the choice may alter the results.


Regards, Irfan

Dear Tom, Hello. I am bit confused with the multivariate GARCH models outputs (I have also try different VARIANCE options). I estiamte the model using following comand with options GARCH(MODEL=V1, P=1,Q=1,MV=CC,VARIANCE=VARMA,MVHSERIES=HH_1_2,asy, $ STDRESIDS=RES_1_2,PMETHOD=SIMPLEX,PITERATION=02,ME...

dear Tom,
I am still facing the same issue regarding results. Please help me in this regards,
Irfan Malik