The RATS Software Forum

* disp "Univariate Models" disp "VaR on Cisco" @20 -10000*q1 disp "VaR on Intel" @20 -10000*q2 disp "VaR Overall" @20 10000*q12 * I tried running this with my own series. Everything works fine until this point. I get NA for the VaRs. What does the @20 refer t...

Thank you Tom,

Good stuff, particularly %testdiff and BREAK in (2) and the heads-up in (3).

Regards,

Gregory

I'd like to do an iterative regression like the one shown below, and I'm hoping that someone can point me to an example. The basic idea is to feed fitted values from a second regression into the first until the coefficients or perhaps the R-squared of the first converge. Any suggestions would be mos...

TomDoan wrote:It sounds as if that path doesn't exist.

You're absolutely right. Missing sub-folder. Thank you, Tom.

Gregory

I'm working with a tri-variate BEKK GARCH(1,1)-M model in which each of the three return series depend on their own current variance (similar to the one on page 431 of the User's Guide). It looks like this. The equation for H also accounts for asymmetries. (1) Return equations rx(t) = constantX + be...

Not sure what I'm doing wrong here. I'd like to save results on each iteration of a Do loop and append the iteration number, i, to each file name. But when I run this code, I am prompted for a location to save, and the forward slashes in my file path have been converted to hyphens. declare string th...

Crystal clear! Thank you.

Gregory

You don't need the "end if" when the if-else is inside a loop (or any other compiled structure). Is that the case even if I have other instructions that must be executed after the "end if"? That would mean that RATS uses the curly brackets to determine the contents of the IF blo...

Thank you. I'll give it a shot.

The variable coeffs is of type vector[series]. Is there a more elegant way to dump it to a file without having to write out coeffs(1), coeffs(2), and so on? open copy "myFilePath/myFileName.xls" copy(org=columns,format=xls) gEnd+1 lastObs $ coeffs(1) coeffs(2) coeffs(3) coeffs(4) coeffs(5)...

I can't get the following to work. * Start of the main loop do i=1,10 * Now I want to do something conditional on iteration i. if i>1 { do j=1,n set residSeries(j) gEnd+i-1 gEnd+i-1 = rv(gEnd+i-1)(j) end do } else { do k=gStart,gEnd do j=1,n set residSeries(j) k k = rv(k)(j) end do end do } end if e...

Yes, it is. Answered my own question. I mistakenly specified the C matrix as lower diagonal rather than upper in my replication. Flip it, and you can reproduce RATS's H estimates.

Hello, I'm running a BEKK GARCH model with the asymmetric option, and I'm wondering whether anyone can confirm the specification of the asymmetric part used in the instruction. I'm assuming that it is GJR (1993) D' u(t-1) u'(t-1) D where u(t) = Min[0, e(t)], e(t) being the residuals from the mean eq...

Good stuff. Thanks.

As a quick check of my work, I like to replicate the series of residuals returned by RATS by recalculating them using the estimated coefficients from the model I've run (from a GARCH model in this particular case). I find that my residuals are the same up to about five decimal places. Does this roun...