The RATS Software Forum

Hello, I tried the example's code today and modified it with my variables. It now looks like this: dec vect[series] u(3) system(model=varma) variables brent wti sp500 lags 1 det constant u(1){1} u(2){1} u(3){1} end(system) clear(zeroes) u When I execute this code, there comes no output. The new seri...

Thank you for your answer. I understand your thoughts about the full VARMA-GARCH. Is the code in the example for the full VARMA-GARCH model including the matrices in the VARMA part? (Due to technical problems I can not test it at the moment). I will try with a full VAR(1)-GARCH(1,1) model as well. I...

Thank you. I have already read the manual before but it didn't help me get the model with the output I am searching for. Ling & McAleer state a VARMA-GARCH model with VARMA conditional mean equation and GARCH conditional variance equation. Lateron, they advanced this model by an asymmetric compo...

I want the VARMA-GARCH model (the volatility model) of Ling and McAleer with the option of asymmetric shocks etc. I have never heard of the other VARMA-GARCH model, so I made the mistake. Now, I am confused. The last code was for the wrong VARMA-GARCH model, do I understand you right? So the code fo...

Thank you for your answer! My mean model must be VARMA(1,1). Using your code, I receive VAR(1) model for the mean plus the GARCH-part in the output. So, the MA(1) part is still missing. It is important that the estimated model is the VARMA-GARCH according to Ling & McAleer in the end. How can I ...

This leads me to a new error message: Can you tell me what this is about? I tried to figure it out but failed. ## SX22. Expected Type EQUATION, Got SERIES[REAL] Instead >>>>on(constant) sp500<<<< How to modify this code to get VARMA-GARCH (Ling & McAleer) instead of VAR-GARCH? Thank you so much!

Thanks, I didn't see this. I corrected it but the error message is still the same. I definitely have no typing errors in my variable names. Do you have an idea? Thank you in advance! My code: equation(constant) sp500 equation(constant) brent group ar1 sp500 brent garch(p=1,q=1,model=ar1,variances=va...

Thank you for your answer! I have one more question: using this code I receive only the estimates for the GARCH part of the model but not for the VARMA part. How can I get this? btw: I tried it this way but it didn't work and includes VAR only but not VARMA which must be: equation(constant) wti equa...

Hello, I want to estimate a diagonal VARMA-GARCH-Model accordning to Ling & McAleer (2003) so that the matrices of the VAR; VMA; ARCH; GARCH parts have non-zero elements only on the diagonal. I used the code: garch(p=1,q=1,mv=cc,variances=varma,pmethod=simplex,piters=10,rvectors=rd) / Rendite_oi...

Hello, I estimate a VARMA-GARCH(1,1,1,1) Model according to Ling & McAleer (2003). I use the following code: garch(p=1,q=1,mv=cc,variances=varma,pmethod=simplex,piters=10,rvectors=rd) / oil gas Can anyone tell me how to get the residuals as a time series of this model for diagnostic checking? Th...