The RATS Software Forum

Tom Dam, What I had in mind would be something like we have on the RATS Handbook for ARCH/GARCH and Volatility Models pgs 57-58 and applied the @GACRGFORE command. Please, correct me if I am wrong: Because I have a daily data set, it doesn't make sense to forecast a 1-day forecast (E(R)=0). It would...

Dear Tom Dam, It works just fine. Thank you once again. But now I have been trying to forecast the last 30 periods of data of for the last model ARJI-h(t), but I couldn't do it. This is the first time that I try to do out of sample forecasts. How can I get the MSE for the forecast? I have attached m...

Dear RATS users, I have been working with Chan & Maheu, JBES 2002 (Jump GARCH model) for a while and I have bumped into some issues: 1) I have 2008 observations; estimations are only using 1767...why does that happen? 2) my estimation routine has failed to converge upon an optimum so the paramet...

Dear Tom,

I got it!!! Thank you!!

Max

Dear RATS Users, I have been trying to graph a time series but for some reason, it doesn't label the x-axis(year) either shades. have used the following command: * Replication file for Chan and Maheu(2002), "Conditional Jump Dynamics * in Stock Market Returns", JBES, vol 20, no. 3, 377-389...

Dear RATS users, I want to do an @ARCHTEST to a univariate time series as a preliminary test to decide whether a Garch model can be applied to the data set or not. I have used the following command: * ARCH Test linreg r / resids # constant @archtest(lags=6,form=lm,span=1) resids I got these results:...

Thak you Tom....I was able to imporve my code..... But i got another issue regardless of my Model ARJI-GARCH: Seems like my estimation has failed. ARJI-R{1}^2 GARCH - Estimation by BFGS NO CONVERGENCE IN 9 ITERATIONS. FINAL NORMED GRADIENT 4.22395 ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF ...

arjigarch_3_RBFin_TESTE.RPF spot_1.txt To all RATS users, For quite a while i have been trying to replicate Chan & Maheu, JBES 2002 (ARJI-GARCH model) in order to lear more about extreme events and volatility. I was able to replicate the model, but now I have been trying to expand it. I am tryi...

That error message is rather self-explanatory. You typed SHOKS when you meant SHOCKS. I'm not sure what you're trying to do with more than one grid, but no, you can only do one grid. You can do a separate shading option. You can change the color or pattern of those using GRPARM: https://estima.com/...

To all RATS users, I am new at RATS and I am bumping into a few problems. How can I add more than one grid at my graph and change the the grid color line or size? The grid line gets confused with the graph line. Thats my code that i tried to use following RATS Hel guide page 141 set shocks = t==2010...