The RATS Software Forum

Dear Tom,

Thanks for your reply. I was wondering if it is possible to use the command "forecast(model=ARJI,...)" to do the one-step-ahead forecast of the Jump GARCH model.

Dear Tom,

I would like to do some research using Chan&Maheu, JBES2002(Jump GARCH model) and I would like to do the out-of-sample analysis but don't know how to write the code. Could you please give me some advice.
Thanks a lot.

Dear Tom, Thanks for your reply. Could you please help me check whether the following code is right for doing the estimation of HAR model. It seems RATS will round 1/5 or 1/22 to 0, so I use 0.2 and 0.04545 instead of 1/5 and 1/22 in the code. clear(all) open data rv.xls data(format=xls,org=columns,...

Dear Tom, Thanks for your reply. I have tried the command "ENCODE" and it seems that this command along with "LINREG" can perfectly handle univariate version of heterogeneous autoregressive model. I tried but failed to extend it to multivariate case.As my final purpose is to calc...

Is it possible to regard the data as panel data and use the command "pregress" to estimate it?

yes.The model I would like to estimate is a multivariate version of heterogeneous autoregressive model and use it to calculate the Diebold spillover index.

Dear Tom, Thanks for your reply. Actually I would like to use the heterogeneous autoregressive model(HAR) to compute Diebold Spillover Index. As for Diebold model, he use VAR as the base model and can use the following code for estimation. My question is how to rewrite it so that I can estimate the ...

Dear Tom,

Thanks for your reply.
Sorry to comfuse you. The model I would like to do is like the attached PNG.

Best regards

Dear Sir, I am trying to estimate a multivariate heterogeneous autoregressive model,that is Y t =β 0 +∑_(h={1,5,22})▒〖β h Y h,t-1 〗+ε t ,whereY h,t =1/h ∑_(i=0)^(h-1)▒〖Y t-i 〗 My question is I don't know how to do it with RATS. It seems that it can not use the code "system". Please let me ...

As for a normal GARCH-M model, only h t enters the mean equation. But to a ARJI-GARCH model, the variance of the return is var(R t | R t-1 )=h t +(θ^2+δ^2)*λt. The first part is the variance of observable base variance and the second part is the variance of the unobservable jump process. What I want...

Dear Tom, Thanks for your reply. As for why the jump intensity enters into the mean. It is because that the jump part contains a jump arrival rate which is Poission distributed with parameter λt and a jump size Y t,k which is normal distributed with mean θ and variance δ^2. That is to say the varian...

First, I'm not sure I understand how you generalize that to include an "M" effect. The jump GARCH model has a standard observable base variance and then the unobservable jump process where the number of jumps is unknown. For evaluating the likelihood, the latter requires summing across th...

Dear Tom, I would like to modify the Chan and Maheau (2002) ARJI-GARCH to an ARJI-GARCH-M model.As for the mean equation, I decompose the variance of the return into the diffusive part and the jump part and add these two parts into the mean equation sepatately, expressed as rt=a1+ a2*rt-1+ a3*ht+ a4...