The RATS Software Forum

Hi Thomas,

How to I can calculate Basic leontief inver matrix (I-A)^-1 in rats?

Thanks!

Thank you Tom!

It was the huge scale and lack of effects of 2014 crises that made me hesitate.

How do I graph it in standard dev. form?

I would be really grateful if someone could help me on this matter. Since I managed to get dcc-graphs, I´m deeply in need of garch volatility (variance) graphs. I tried to use following code for it: garch(p=1,q=1,resids=u,hseries=h) / lrussia GRAPH(STYLE=LINE) 1 # H But the results seems to be quite...

Thanks for all your help dear Tom! I have final question that I´ve been struggling with. How I can make (separate) graphs of garch volatility and dynamic conditional correlations? In garch volatility graph I want to present the heteroskedastic variance time series for each country, by weights given ...

Sorry, table 10 was just an example what I was advised to likewise calculate… Does not concern directly my work. Your data for Russia and Georgia show almost no relationship between the two---the periods of high volatility are basically disjoint. So the null hypothesis (there´s no autocorrelation in...

Thomas, please accept my apologies for naïve questions. I was just mixed with different procedures. The example paper I was given and which methods I should replicate in my assignment (only with different data) is quite unclear. It´s said only that first and third row pairs represents residuals of e...

Thank you!

Can you give any hints how can I now proceed with diagnostics ?

I need the program, too. system(model=varmodel) variables lrus lkaz lags 1 2 det constant end(system) estimate(resids=resids) * 2007 compute basesigma=%sigma @mvqstat(lags=24) #resids ... so the same as in the example in user´s guide (8) on page 305 and here https://estima.com/ratshelp/index.html?m...

Here´s the data. I´m using rats 8.2.

The results I posted in previous message was MV-Q between Russia and Kazakhstan.

I´m just quickly returning on my previous subject on multivariate Q-test. I got now following result: Multivariate Q(24)= 367.13853 Significance Level as Chi-Squared(96)= 2.45577e-033 Seems that the results are extremely high (Q24) and low (chi). Correct me, if I´m wrong: the model used helps to rem...

Thanks for your answer!

Somehow I can´t make the Q-test. The thing is that I´m trying to make it to pairwise series. For single serie, it worked.

Is it possible to use wizard on this ?

Thank you Tom for your help! Also the last data set worked well after your suggestion. But I have still few questions. They are from slightly different area ( I did not wan´t to make new topic). When calculating Covariance∖Correlation matrix, for example between Russia (lrus) and Ukraine (lukr), I g...

Yes, that´s correct. Seems that there´s nothing happening for many days. Also tried for shorter period, but still does not work.

Thank you Tom for a great support and help!

I got the results for three country pairs. For Kyrgyzstan, I think there´s not much to do, since their price index is what it is:

I´m running it on returns and unit root test have been done. I use MSCI price indices which are transformed to returns. As I tried few times more, I got results from GARCH(P=1,Q=1,MV=DCC) / COUNTRY1 COUNTRY2 for most of the country pairs, but I need also mean spillover, which I do not get from above...