The RATS Software Forum

Hi, I have daily stock returns and I am considering applying the ICSS test to standardized residuals from a fitted GARCH model. Would this be methodologically appropriate if the goal is to detect variance breaks and then examine whether the model parameters change across the regimes defined by those...

Hi Tom, I am estimating a VAR with 5 daily financial return series.I am thinking whether to use BIC (which suggests 1 lag) or AIC (which suggests 10 lags) for determining the lag length when performing Granger causality tests. Which criterion would you recommend in this context? More generally, is i...

Is it acceptable to extract the residuals from a Vector Autoregression (VAR) model and use them as inputs for the estimation of the BEKK GARCH model?

I have four assets returns with the goal of implementing VIRFs. 1) The four lag selection criteria agree that i should have a constant mean, but after estimating the model the multivariate Q statistic is significant. So, i choose a VAR(3)-BEKK GARCH model that successfully eliminates autocorrrelatio...

When we estimate VIRFs through simulations we should check the stability, eigenvaues of %%vech_a+%%vech_b+%%vech_d? Because although the eigenvalues are (1.050,-0.000) (1.029,-0.000) (1.005,0.000) the volatility impulse responses have no explosive behaviour.

Thanks a lot

Hi Tom,

I know we select the robusterrors option for a BEKK-GARCH (or other) model estimation assuming a Normal distribution (QMLE).

When estimating a BEKK-GARCH model with a t-distribution, do I need to select the robusterrors option?

Hi folks, 1) The alternating pattern for the signs in the main diagonal of the matrix A of my 4 variate asymmetric BEKK GARCH model imply something for the validity of the chosen model? 2) Is there a routine in RATS for estimating a DCC GARCH with block matrices? https://www.sciencedirect.com/scienc...