The RATS Software Forum

Hi Tom, We express our sincere thanks as through your questions that we realize the steps we should not take. Following the application of MS means to the data, we obtained ARMA model for the sake of getting residuals to apply GARCH to. Now we become aware that it does not make any sense to apply AR...

Hi Tom, I am sorry regarding the confusion as there is no ARMA involved in those steps. Following the nonlinearity test, we applied MS means model to the data to model the mean behaviour . Afterwards, to model the volatility, we obtained GARCH(1,1). We this time applied BDS test to the standardized ...

Hi Tom, We have a time series data (BIST XKURY), and performing a nonlinearity test (BDS test) to the suitable ARMA model suggested the nonlinearity of the data. Then, we applied Markov switching in the means. As the next step, we obtained GARCH (1,1) model for variance. The application of the BDS t...

Hi Tom, I firstly extend my sincere thanks for your help. As stated in GARCHMV.RPF, negative coefficients in the off-diagonals of A mean that the variance is affected more when the shocks move in opposite directions than when they move in the same direction. As for B coefficients, the off-diagonal o...

Hi Tom, Thanks for your reply. I think SIGNS option in GARCH allows us to determine the sign ex ante. That is, it seems that we do not learn the sign in the output. As for D coefficients, I think that we can only say which ones are significant, and which ones are not. We can not make any comment as ...

Hi Tom, Thanks for your reply, I now understand that higher variance series tend to have lower off-diagonal coefficients than lower variance series. I think, based on the output, I could just say that the residuals and volatility of each series have a statistically significant impact on the variance...

Hi Tom, The RATS software coupled with your nice guidance helped me lot in learning the basics of MGARCH. I express my sincere thanks for this. The attached file shaped by your comments throughout the forum is the one with, in my opinion at least, the proper diognastic tests. I also learned from the...

Hi Tom,
HACADET is for the log value of the daily transaction volume change (in lots) in BIST100 index. It appears that, in case of using several lags, the mean value is significantly affected from the several lags in row. Many thanks for your comments.

Hi Tom, Many thanks for your kind interest in providing guidance on the queiries. Browsing the literature reveals two different approaches in picking between symmetric and asymmetric models, say BEKK model. Some papers model both symmetric and asymmetric ones and make their decision basen on an info...

Hi Tom,
As for BEKK model, the Q test turns out to be insignificant at the 12th lag (until 12th, it is significant), though the mvarch test result is still significant. Now, does the model seem to be proper, fit this time?

Hi Tom,
Many thanks for the kind reply. This time, I have performed as in the User's Guide. The attached output reads that both multivariate q test and multivariate arch test are significant. Does this mean that the model is not a fit, proper one? If so, what should be done?

Hi, I try to estimate two variable BEKK MGARCH model. The related wizard lets us save the standardized residuals under a name, say "xx". Following the estimation of the model, when I intend to apply @MVARCHTEST to the standardized residuals, I see that there are two sets of std residual se...