The RATS Software Forum

Hi Tom! I am trying to create a rolling sample Granger causality graph, as produced by the dummy code, but in a multivariate set up. In particular, I have a bond dataset for different ratings and I want to replicate the time-varying causalities in the system. Can you please help me on how to amend t...

Dear Tom,


I want your help considering the DCC-GARCH estimation.
Can you please refer to some codes in order to extract conditional volatility, dynamic conditional correlation and dynamic conditional covariance as series after estimating the DCC-GARCH model?


Regards

Hello,


I am looking for any available code to estimate a model using a Panel VAR in RATS


Thanks!

Dear Tom, Thanks for the response. I want to create a group of countries, called emerging, for which I will employ several variables such as inflation, industrial production, stock indices, etc. These variables could be analyzed in a simple panel framework that inflation for example, refers to all e...

Dear Tom,


I was wondering if I can use DY method for estimating a panel VAR..Is that feasible?
For instance, I want to study the spillovers between groups of countries (i.e. developed-emerging markets) ant not the spillovers from a country to another


Thanks!


V

thanks Tom! I tried I/O split which is very helpful! I applied different variance specifications rather than spillover, but I have still no convergence..Is there any example about how to implement preliminary simplex iterations? thanks also for the volatiltiy graphs...is it a similar code for correl...

Hi Tom! you had right! my sample was not good.. I collected daily data and I think that both DCC and univariate garch model work well I attached you the file can you help me about the correlation and volatility graphs?if I they can be created by a command instead of giving a specific command to each...

yieldcurves.RPF data4.txt Dear Tom Thanks for the help..Maybe I have to reestimate the model with daily data..The univariate garch is ok but I want also the dynamic correlations. I tried to use the formula on a daily dataset, with many more observations but again the program operates until the 4th ...

I have 240 monthly observations for each of the 7 countries from 1994 to 2014

Dear Tom Help you for your help!I followed your recommendations and I estimated the model However, my sample includes 7 countries and when I applied the changes the program is not responded and closes immediately. However, when I applied 4 countries all they work well! Is this a problem in my rats v...

hi! Since I am also a beginner in DCC-GARCH estimation...I have few questions if can anyone help me! a) I use bond yield spreads in my analysis but they are non stationary. Should I take first differences (that make my variables stationary) before running DCC model? b) The DCC-GARCH model has to be ...

thanks for your response

I applied gfevdx(i,j)-gfevdx(j,i) either with "ewise" or "compute" but the program reports illegal combination of i,j
Can I declare i and j as the variables?

Thanks once again!

thanks TomDoan!

I appreciate it also if you could help me about how can I create Net pairwise spillovers

thanks

hi! I apply the Diebold-Jilmaz formula to replicate the spillover index for credit default swaps. So, I employed a RATS code similar to "dieboldyilmaz_ej2009.zip". However, the RATS created the total spillover index (as an additional series) and the spillover table in the output, but it di...