The RATS Software Forum

I am Sorry sir, actually I want to check the transmission of shocks on stock indices due to the change of exchange rate and Interest rate, what will happen on returns of indices due the these two markets.

Dear Sir,

yes I have checked the unit root, logIR is stationary at level at 10%. I am attaching my result again please check one more time.

thank you

Dear Sir, I have attached the result of Johansen cointegration and volatility Garch model result. as in Johansen, trace statistics is greater than the critical value when R=0, it shows cointegration but lamba statistic is smaller than the critical value Please tell me should I accept it as cointegra...

Hello Sir thank you for clearing it, as we know that stock market data is volatile that's why we normalize it, but it is not in the case of the bond interest rate, so My question is should I normalize bond interest or I simply use the log of interest rate rather than multiply it with 100 or do as li...

Dear sir theoretically I know, but I am not getting in Codes, I got these codes for the example(which I attached here), Please Sir I request you kindly help me in my analysis. I request you kindly provide me a codes of how we estimate Johanson cointegration. and In the absence of cointegration how w...

I have three variables - the prices of NSE stock, the Exchange rate, and the Interest rate of 10-year government bonds. then In RATs I set the data set rnse = 100.0*(log(pnse/pnse(1))) (pnse is the price of the nse stock) set rex = 100.0*(log(ex/ex(1))) (Ex is the rate of the INR/US dollar) set lnIR...

Dear Sir I have run the cointegration and these are the codes and result, please take a look @johmle(lags=2,det=constant,cv=cv) # rnse rex lngsec Likelihood Based Analysis of Cointegration Variables: RNSE REX LNGSEC Estimated from 3 to 5619 Data Points 5617 Lags 2 with Constant Unrestricted eigenval...

Dear Sir,

Thank you for your reply, I have attached the file please check.

Sir, I am waiting for your reply Please let me know all these things.

Good Morning Sir, Hope you are doing well, Sir I didn't understand the mail, but I have tried on my data to eliminate the issue, as as we know there is no continuous data due to some holiday and so there are gap in the date, when I scan the data, One dialog Box pop up and asked about the data with g...

reference to the previous mail i am using these code for return of nse and exchnage rate
set rnse = 100* log(price of nse/price of nse {1})
set rex = 100 *log(exchange rate/exchange rate{1})
set lngsec = log(gsec)
Please unpdate me for any modification

hi sir I am facing this issue what it mean? and one more thing as I am working on nse stock data with exchange rate data and interest data, when I calculated the return for the stock and Exchange rate, the first cell will be empty, and for the interest rate I didnt calculate the change, simply I am ...

i think the above result showing no cointegration

sorry, yes cointegration- yes i can share the output below: @johmle(lags=5,det=constant,cv=cv) # rcoal rind Likelihood Based Analysis of Cointegration Variables: RCOAL RIND Estimated from 6 to 1938 Data Points 1933 Lags 5 with Constant Unrestricted eigenvalues and -T log(1-lambda) Rank EigVal Lambda...

Hello Sir, can u help me in interpretation of Johansen's countertraction test?