The RATS Software Forum

Hello Tom, Just a quick question Do you have any reason/suggestion why I should not do GARCH BEKK using more than 2 variables? im using 53 variables with each observations only 140. Understanding the forum i listed below, I chose to estimate it pairwise (bivariate) I have read the forum and found yo...

Noted, it worked wonderfully

Thank you!

Nevermind about my previous question because i found a way to work on it

Is there any way for me to store the result of all the estimation into one excel file? preferrably storing the name of the variables (and the matrix) containing coefficent and the significance

Thank you Tom for the reply, It works well for me. Can i ask one more thing regarding this? Unfortunately instead of having my variable named Y1 to YN, i have named my variables in following manner: typeofasset_countryof asset (example: eq_cn, eq_id,....,bm5_cn, bm5_id,...., bm10_cn, bm10_id,...,fx_...

Hello everyone, In the forum, it has been explained in order to run VAR-BEKK GARCH Model, the code is: system(model=varmodel) variables y1 y2 lags 1 to number_of_lags_you_want det constant end(system) * garch(model=varmodel,mv=bekk,method=bfgs) I have variables from X1, X2, ..... , Xn and i need to ...