The RATS Software Forum

Hi Tom,
I have bivariate VAR-DCC model with some exogenous variables in the conditional mean equations. How do I run a F-test, to see whether a restricted version of the model is preferable?
kind regards

Dear Tom,

How can I include variance structural breaks in conditional variance-covariance equations for BEKK model?

Kind regards

Hi Tom, In the above example: (0.965,0.000) (0.948,0.000) (0.941,0.000) (0.921,0.000) (0.905,0.000) (0.889,0.000). these eigenvalues are calculated for each conditional variance covariance equations? So each of these single equations have stable root? I have the following results: Eigenvalues from B...

dear Tom,

is the PARMSET set up the same for DCC model when i use SUMMARIZE?

bests

Thanks for your reply. I mainly want to observe covariance. However, I saw univariate GARCH in mean model includes standard deviation in conditional mean equation rather than variance. So I am wondering in bivariate case, should I include two standard deviation of two asset returns as well as the co...

Dear Tom, In order to get bivariate garch in mean model. Do I include square root of both variance as well as the covariance in the conditional mean equation, ie: sqrt(HHS(1,1)), sqrt(HHS(2,2),HHS(2,1)? (Rather than using HHS(1,1), HHS(2,1), HHS(2,2)?) However, there was an error when I tried to use...

Hi, I tried to estimate a VARX-MGARCH-MEAN model with covariance matrix considered in the mean equation using the following codes: dec symm[series] hhs(2,2) clear(zeros) hhs System(model=varxmodel) variables lrbtc lrltc lags 1 deterministic constant tbtc tltc wbtc wltc hbtc hltc usd hhs(1,1) hhs(1,2...

Thanks.
I will update the software.

If i purchase e-course online. Do i get the pdf files forever? Or they will disappear after a period of time?

Hi Tom,

I have the following information pop up.

##SX11. Identifier HH is Not Recognoizable. Incorrect Option Field or Parameter Order?
>>>>,%solve(%decomp(hh(<<<<

Hi, Can I use rseries and stdresids options for WINRATS PRO 8.0? Or it is only available for the latest version? Is there any way to do it by version 8? I am trying to standardise residuals for diagnostic tests for multivariate garch (BEKK) model. But the following codes does not work because option...

Dear Tom,

Can I use the above code to evaluate the long run covariance for DCC model instead of BEKK?

Regards

Hello, I have long run contrivance stationarity for my model. I am now trying to generate n=1000 sample paths over 365 days for estimated VARX-MGARCH-BEKK. Is there any code/RPF that can help me to do this? Could you help me with this please? The following is the code i used: calendar(7) 2013:7:17 d...

Thanks. It worked. But the result is 1.10285 larger than one. So I cannot use the rest of the code?
Does it mean i cannot obtain long run covaraince?

Thanks for your reply. I used the code but have the following results. How do i define vech_a? eigen(cvalues=cv) %%vech_a+%%vech_b ## SX11. Identifier %%VECH_A is Not Recognizable. Incorrect Option Field or Parameter Order? >>>>lues=cv) %%vech_a+%<<<< If the name isn't mistyped, it's possible that y...

Am I correct that for BEKK, the long run covariance matrix is equal to [(I-AA'-BB')^(-1)]*CC'
I have a bivariate-GARCH(1,1)-BEKK model, How do i generate this "I" - identity covariance matrix?
Can I use SUMMARIZE command to evaluate the long run covariance matrix?
Thanks.