The RATS Software Forum

Hi Tom, I have an exchange rate dataset(R) (4790 days of data) and I used LSUnit - Lee-Strazicich unit root test and 2 structural breaks. I need to look at both the crash model and the break model. But it takes a long time and I have been waiting for 3 hours. Why does it take so long? How can I make...

The mean model is handled automatically when you change the LINREG here (which you've already done): linreg rt # constant rt{1 2} * frml(lastreg,vector=mu) meanf compute omega=%seesq,delta=0.0 nonlin(parmset=meanparms) mu The mean model parameters are in the MU vector; all the other parameters are ...

Again, there is nothing wrong with the code---the model doesn't work because the model appropriate for the last roughly 1/2 the data isn't for the first half. If I take your program and change the start date on the initial LINREG to linreg r 3001 * # constant r{1 2 3} (which flows through the rest ...

Graph the data. The first 3000 look very little like the remainder---much lower period to period movement with a few enormous spikes. I assume there was some attempt to keep the exchange rate relatively stable over that period, with a few major corrections. If that's the case (this is your data, an...

Whether any particular model will translate well from one data set to another is not clear. However, your data set has some very serious issues---the first 3000 data points look very little like the remainder of the data and there is no chance that a single GARCH model, even with some tweaks is goi...

Hi there,

I estimated the Ar(3)-GARCH-IGARCH-FIGARCH models. But I'm not sure about those estimates.
I want to use GARCH-IGARCH-FIGARCH models in ARMA(1,1) model structure.
I couldn't understand the error in my code.