The RATS Software Forum

How can i save regression output in excel format? I run a VAR GARCH MODEL.

I equate hmatrices with HH. But I am unable to calculate conditional variance of both series and confidence. I am beginner, I don't know, how to run code. Kindly elaborate me the procedure to calculate time varying conditional variance of both series and covariance?

Simply, assume there are two series "indo" and "gold". Now tell me, what should write below VAR AGARCH command(as attached in last message) to calculate weight, hedge ratio and hedging effectiveness between these two series. Kindly tell me.

Thanks

Dear Tom, I have calculated the spillover between Indo and gold returns. I attach the document having the code of estimation of VAR AGARCH. Now, I want to calculate weight, hedge ratio and hedging effectiveness. Kindly tell me, how can i calculate weight, hedge ratio and effectiveness, what should I...

Dear Tom,
Kindly tell me, how can i calculate variance hedged and variance unhedged in RATS? What can be the code?

There is a attached documents having hedging effectiveness formula.

Now, kindly guide me, how can i calculate hedging effectiveness.

Thanks Tom Doan,
And how can I calculate hedging effectiveness?

Dear TomDoan, I am first time user of RATS, and I have calculated a spillover between two series by using VAR AGARCH. Kindly guide me, what will be the different steps to calculate time varying variance of both gold and stock returns separately (and time varying covariance). After that, I will calcu...

I have estimated a spillover Between gold and stock market by using VAR AGARCH model. Now, I don't know, how to calculate optimal weight, hedge ratio and hedging effectiness for these two series in RATS 10. Attached article has first applied var Garch and then calculate optimal weights, hedge ratio ...