The RATS Software Forum

How do I insert a dummy variable into the following code. I do not know how to add. nonlin(parmset=garchparms) c b d set uufilter = 0.0 function %uufilter d type real d %uufilter set u = r-meanf set uu = u^2 if d>1.0.or.d<0.0 set uufilter = %na else diff(fraction=d,pad=uupresample) uu / uufilter end...

we would like to investigate the long memory of volatility in S & P 500 index Using the work of Baillie vd. (1996) "Fractionally integrated generalized autoregressive conditional heteroskedasticity ". How to add 2008 global crisis as a dummy variable to FIGARCH formulation. How can we ...

Hello Tom, I have a new question about FIGARCH model. I would like to add a dummy variable to remove the effect of structural breaks in the Fıgarch model. How can I incorporate a dummy variable in a FIGARCH model? I tried but could not. I would be very happy if you could help me. Thank you very much...

Hello Tom, I am quite new to the use of the rats program. When I look at the work of Baillie, Bollerslev, Mikkelson(1996) FIGARCH model, I only have FIGARCH (1,d,1) and (1,d,0) codes. How can I do if I want to do (2,d,1) or (2,d,2) or (2,d,0) in GARCH, IGARCH and FIGARCH analysis. I am very happy to...

Hello Tom, We did according to gaussian max likelihood in FIEGARCH model, Which approach was used to estimate the FIEGARCH model? Which distribution did you use? Can we use student-t or GED distribution or skewt-t ? Is the t distribution used in the FIEGARCH model? If we want to change distributions...