The RATS Software Forum

Dear Tom, I am studying on the RATS Handbook for ARCH/GARCH and Volatility Models section 11. GARCH Models with Macroeconomic Data, An SVAR-GARCH-M model, in Table 11.1: Estimates of SVAR-GARCH-M Model, there is G1(1) G1(2) G1(3) and G2(1) G2(2) G2(3) what are they, are they arch or garch coeffcient...

Dear Tom, I have some question from RATS Handbook for ARCH/GARCH and volatility models page 264 table 12.3. I can not be sure which variable means what in the equation that I am sending you as an attached doc. format. I will be so plaeased if you checked and corrected it if there is an error. Thanks...

Dear Tom, Thanks for your help. It seems perfect now, but I have some question for the last time 1. I corrected the set dlogp = log(ith) but what is the abbreviation BTW ? 2. There is a code to narrow down the sample range and analyze it, but I couldn't remember what was the code beginning with .......

Dear Tom, As you say, I completely canceled the first part. 1. did I use the linreg code in the right place or where should it be? : 2. and Can " diff(center) dlogp / demean" correctly express the error for the model that I am using or if not, how should I re-write it ? * SV.RPF * open dat...

Dear Tom, I think I managed to change the code as I wanted. I ran two different codes together, but could you check the logic accuracy? The first one is Commandeur & Koopman, An Introduction to State Space Time Series Analysis. * Chapter 5. UK data. and the second one is SV.RPF Estimation of a s...

Dear Tom,

How can I do that in the SV.rpf code? Can you describe me? Because ı couldnt find the right place inside the code and how ı should re-wrote the code “ to estimate the coefficient for that as part of..”
I will be so pleased if you could help me or show an example code.
Thanks in advance

can I do that?
Because the model is like that:

Yt=b0+b1x1+ε_t √(h_t )

for example Y is export rate and X is exchange rate and b1 is the coefficient of the X1 series.

for example Y is export rate and X is exchange rate (Basically an input mean series for Y)

Dear Tom, my prof insist of tt run the SV.rpf code. I can not able to decide where should I put the X term in the attached form. I looked for codes and also other pdf docs. I will be so pleased if you help me. I attached the doc. form an haighlighted my problems and questions.
Thanks in advance

Dear Tom, I am again here for asking the same question about impulse-response function for DCC. If you can look to the past posts and and my model which is a "in-mean model" you said it is nearly impossible to find out the impulse-response of DCC model with mean equation. "The mean-mo...

Dear Tom, 1. I found the function whch is below %mcergodic but it didn not give any number, what shoukd I write at the end of the code to get long-run average" probabilities or ergodic probabilities as a number(value) function %mcergodic p type vect %mcergodic type rect p * local rect a local i...

Dear Tom, I am replicating Balcilar, Gupta and Miller, EE 2015 with their data set and your program (Fuzz" up th............). I can not able to get some values and can not find how to get them. 1. stock-warson cointegration test 2. the prob value of regime properties in Table 4 which are( 0.72...

Dear Tom, I am replicating " Camacho(2011), "Markov-switching models and the unit root hypothesis in real U.S. GDP", Economics Letters, vol. 112,* 161-164" with its data set. I have some missing on the solutions of the rats program and the paper of Camacho... Thanks in advance.

Dear Tom, I have a mean model and can not be able to decide where I shouldput it, correctly. I used GARCH12_1.RPF for my model. I want to estimate SV model with a mean equation y(t)= y(t-1)+x(t-1)+z(t-1) +sqrt(h(t))v(t) logh(t)=....... .... for example y is usxuk usxger x is usxger z is usxjpn * GAR...

Dear Tom, What is the C,B,A,D and R for example C(1), A(1,2), B(1), D(1) and R(2,1). I am a bit confuse about which one is in the attached doc. the effect of j. market shock on i. (?) the effect of the j.market lag return on i. (?) the asymmetry degree of i.market (?) volatility persistence(?) I wil...