Search found 3 matches
- Tue May 12, 2015 10:59 am
- Forum: ARCH and GARCH Models
- Topic: Output for MV-GARCH
- Replies: 1
- Views: 5913
Output for MV-GARCH
Hi Tom, As I employ RATS for estimate bivariate GARCH model, to capture spillover effect (I already got this result). But I would like to know more how can I get the output of estimate for each variance equation like my attached picture( which I copy from SAS), I have to use residual of each daily p...
- Mon Apr 06, 2015 2:40 am
- Forum: ARCH and GARCH Models
- Topic: RMSE with mv-garch
- Replies: 3
- Views: 7544
Re: RMSE with mv-garch
Hi,
according to this attachment file in page92, they try to find out the best fit model
by comparing RMSE of different type of GARCH family that I try to replicate this method .
Thx,
according to this attachment file in page92, they try to find out the best fit model
by comparing RMSE of different type of GARCH family that I try to replicate this method .
Thx,
- Sun Apr 05, 2015 8:22 am
- Forum: ARCH and GARCH Models
- Topic: RMSE with mv-garch
- Replies: 3
- Views: 7544
RMSE with mv-garch
Hi, I am a new joiner of RATS , I'm using the multivariate GARCH , EGARCH , GJR-GARCH to measure the volatility spillover on index and index futures. After I got the result from these three models, I try to compare them by using RMSE , then I try to use @uforeerrors but it doesnt work. So what shoul...