The RATS Software Forum

Let's say we have two series and estimate a BEKK-MGARCH model. Normally, researchers study the volatility spillover effect (from series 2 to series 1) by checking the coefficients A21. However, I think the A21 shows four relationships 1) How the square of lagged second shock affects the first varian...

GARCH(P=1,Q=1,MV=DCC,variances=varma) / R1 R2 The above code estimates the VARMA model suggested by Ling and McAleer (2003). In other words, each variance equation contains two lagged shocks and two lagged varainces. (Because the system has 2 series.) Case 1: I only want the two lagged shocks and th...

Question 1

In the past, I started each RATS program with “end xxx”

But now, why the system shows the following error message?

## SX21. A END or } Here is Unneeded or Unexpected

Thanks a lot.

Thanks for your reply.

If this Q0 is the unconditional covariance matrix, how do I extract it?

It is not shown in the output.

Thanks in advance.

Let's say I have two series: x and y.

For DCC, the rho equation should be

Q_t = (1-a-b)Q0 + a*shock_x*shock_y + b* Q_t-1

Why the WinRATS does not show the Q0?

Or, this Q0 is exactly equivalent to the rho12 of CCC model?

I know: “When I add the xregressors option, the same set of regressors are included in all variance equations.” Let’s say I have two series x and y. However, if I have mv=DCC or mv=CC, and I add the “xregressors” option with a variable z. I understand the z variable will be added in both the varianc...

I have two series here: y1 and y2. Before I run the CCC-MGARCH, I calculate the summary statistics. As shown in the RATS output, both y1 and y2 have a positive mean. Statistics on Series LGRY1 Observations 4995 Sample Mean 0.000213 Variance 0.000130 Standard Error 0.011407 of Sample Mean 0.000161 t-...

Suppose I have the following VAR model with a lag of 3, then I can test the Granger-causality. y_t = A + a1 y_t-1 + a2 y_t-2 + a3 y_t-3 b1 x_t-1 + b2 x_t-2 + b3 x_t-3 + e1t x_t = B + c1 y_t-1 + c2 y_t-2 + c3 y_t-3 d1 x_t-1 + d2 x_t-2 + d3 x_t-3 + e2t A joint F-test of the significance of (b1,b2,b3) ...

Q1. Section of 12.1.5 of RATS User’s Guide suggest the ARCH-X and GARCH-X models. “Add regressors for the mean model and for the variance model” When we have these additional variables, do we need to check for the Multi-collinearity? That is, do we need to check whether the additional regressors are...

For MGARCH models, the time series textbooks state that we need to impose restrictions on the parameters to ensure the non-negativity of the conditional variances of the individual series. Do we need to impose these restrictions manually in WinRATS? Or, the WinRATS automatically impose the restricti...

In WinRATS, any specification test is provided for the GARCH model and the multivariate GARCH model?

Thanks a lot.