The RATS Software Forum

Dear Tom, I was wondering if you could assist me on the following matter: I am trying to code a panel GARCH-in-mean as in the paper of Lee, Jim, 2010. "The link between output growth and volatility: Evidence from a GARCH model with panel data," Economics Letters, vol. 106(2), pages 143-145...

Dear Tom,

Many thanks for your response.
After many trials, according to your suggestions, the problem seems to be resolved.

Thanks again.
Best,
Nik

Dear Tom, Many thanks for your prompt response. I changed the code according to your suggestions to the following: * * Replication file for Dueker(1997), "Markov Switching in GARCH * Processes and Mean-Reverting Stock-Market Volatility," J of Business & * Economic Statistics, vol. 15, ...

Dear Tom, I am trying to extend the 2-state model of Dueker(1997), "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," J of Business & Economic Statistics, vol. 15, no 1, 26-34, specifically the "dueker_swgarch_nf.rpf" (GARCH model with switching...

I think what luxu1983 wishes to get is based on the following paper: Hafner & Herwartz 2006 - Volatility impulse responses for multivariate GARCH models: An exchange rate illustration.

If you look at GARCHMV.PRG, it computes and graphs the correlations from a multivariate GARCH. For any type of multivariate GARCH model, you can get the correlations by saving the series of H matrices and converting to correlations by something like set rho12 = hh(t)(1,2)/sqrt(hh(t)(1,1)*hh(t)(2,2)...

Hi, I was wondering how can someone get the correlation coefficients (ρ) along with their significant values in the DCC model of Engle (2002). Running a simple DCC one gets the results for the mean (constant + exogenous if any) and the variance specification equation (constant + alpha + beta + exoge...