The RATS Software Forum

Dear Tom, So, I try to do equation useq rus # constant rus{1} equation hkeq rhk # constant rus{1} rhk{1} group chiang useq hkeq system(model=chiang) variables rus rhk lags 1 det constant end(system) nlpar(derive=fourth,exactline) garch(p=1, q=1, model=chiang, mv=dcc, pmethod=simplex, hmatrices=hd, r...

No. That would only be appropriate if there were no serial correlation in the series. It sounds like you need some dynamics in the mean model. It's just that it makes more sense to include the dynamics of the mean directly into the estimates instead of "prewhitening" and using the residua...

Thanks lot for your help Tom! I have few more question With just two variables, there is no good reason not to do a joint estimate. What you're describing sounds like "3-step" estimator (pre-whiten, then univariate GARCH, then DCC). If there's a concern with serial correlation, you just us...

Hi anyonem Right now I try to implement bivariate dcc garch developed by engle (2002). So what I want to do is analyzing the conditional correlation between two countries using bivariate dcc. (using market indicies in the X and Y, terms of return already) 1. In the literature that I read, sometimes ...

Hey Tom, I also do var bekk garch model, and then for the mvqstat i got @mvqstat(lags=6) # zu Multivariate Q(6)= 716.02087 Significance Level as Chi-Squared(726)= 0.59700 I keep going back and forth to tr whether this number actually mean that I have a VAR problem or not, but there was no clear benc...