The RATS Software Forum

Hi, I was trying to run the replication file for Diebold and Yilmaz (2012) in RATS 8.2. I left the hash operator out as it is a new feature for the 9.2 version. However,the program runs smoothly until the line that initialize spillstats over the rstart and rend period "gset spillstats rstart re...

Hi Tom, The total sample size is about 900. But this will be separated into three sub-samples and hence the reduced sub-sample you saw just. Do you think it is a huge problem with this sample size? Would you consider the model is valid given that it has a negative A(1,1) and A(2,2), and a positive A...

I assume you must have done DISTRIB=T. That's the estimate for the degrees of freedom. Thanks Tom! I can't help but to think that you know everything. Just another minor issues, The code compute gstart=764,gend=912 garch(p=1,q=1,DIST=T,ROBUST,model=varmodel,mv=bekk,pmethod=simplex,piters=10,iters=6...

Hi, I'm just wondering what is the "Shape" variable in the output list? Thank you! 35. B(3,2) -0.005499489 0.035456768 -0.15510 0.87673928 36. B(3,3) 0.896992221 0.056335815 15.92224 0.00000000 37. D(1,1) -0.413873540 0.201963278 -2.04925 0.04043753 38. D(1,2) -0.056871036 0.148981136 -0.3...

That's sufficiently non-standard that it would have to be done using MAXIMIZE. I'm a bit unsure about how that works though. Why wouldn't the squared terms for Asian markets on each other be lagged? I understand US and UK on current Asian markets, but not using current Asian markets throughout. (Fo...

I assume that's a timing issue? That's definitely not BEKK---if it weren't for the t vs t-1's in the last matrix, this would be the VARIANCES=SPILLOVER model. You have a model for the variances, but what about the covariances? CC or DCC? Yes, it's definitely not BEKK - I just meant that I know the ...

Hi, I am new to RATS and I have a question on how to estimate the following specification within RATS. The conditional mean equation is, screenshot.543.jpg And the conditional variance is screenshot.542.jpg Note that some errors are comtemperneous i.e. SG, HK and JP and errors of UK and US are lagge...