The RATS Software Forum

The row of labels doesn't count as an observation. If you have 1024 rows of numbers, you have 1024 entries. If you're running a VAR(2), then you can't start earlier than 3. If, in addition, you have to transform into returns within RATS, you will lose another data point doing that. If the data on t...

Ignore the question, i have found the answer!
I used view and saw the data that Rats read, it reads as t=1 my first data observation and t=1024 my last. The code is ok.
Thanks anyway!

" open data arg_W1C_RD.xls data(format=xls,org=columns) 1 1025 lmr fxr fxr2 mmrus mmrjp nar twr twr12 rdyj rdyf rdmco rdmca rdmfo lmrrd fxr2rd mmrusrd narrd twrrd * * compute gstart=3,gend=1025" My data have 1024 observations and i added 1-1025 because the excel has the names on row 1. Th...

Hallo, following my previous post a few day ago you said when i have a VAR(2) i should start at least from t=3 But my data are in excel and the first row are the names of the series so in the code i have "1 1025" and then i have gstart t=3 Because the first row are the series names should ...

Many thanks!
Now it runs just fine.

Maria

Hallo, I am estimating a VAR(1) - Quatro-variate BEKK MGARCH Model with restrictions to the VAR parameters. Now i am trying to estimate a VAR(2) Quatro-variate BEKK and i get the following message: ## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points My data have no missing values...

In the MGARCH models, when we choose the robust option,
we obtain robust estimates for the covariances following Bollerslev and Wooldridge, (1992) ?

Tnx!
Maria

Hi, is there an assymetry in this code ? If no how can i add teh asymmetry in the conditional variance ?

Maria

Hi, i estimate my usual trivariate VAR(1)-GARCH(1,1) as i mentioned before with the BEKK representation and i restrict the matrices in var-covar matrices to be an upper triangular (kind of). I have the code which was modified mostly by Tom a couple of weeks ago. Now i want to estimate GARCH in mean ...

Thank you!

Maria

Hi, regarding my previous question a couple of days i go i would like to ask if it is possible to have the DCC model for a trivariate case where the dynamic variance-covariate matrix will not be diagonal, such that for instance the first volatility equation would be a function of its own lags and cr...

Hi, regarding my question previously and the answer [for the VAR(1) - GARCH(1,1) trivariate model] (i) what are the DCC(1) and DCC(2) that the DCC code gives when it runs ? is it a-hat and b-hat ? if not how do i get a-hat and b-hat ? (ii) how can i get the Contemporaneous standardized residual corr...

Hi, i am trying to estimate a trivariate VAR-GARCH(1,1) with DCC. I am using the rats code mgarchdcc2 i got from the estima website. The problem is that i cannot make my mean equations be a VAR(1) instead of an AR(1). I have tried to define each frml separately but when i run it it does not regogniz...

This is my code: open data ARG1.xls data(format=xls,org=columns) 1 284 lmr fxr mmr * * * Estimation using MAXIMIZE * The initial few lines of this set the estimation range, which needs to be done * explicitly, and the number of variables. Then, vectors for the dependent * variables, residuals and r...

i am doing a VAR-GARCH(1,1) BEKK model upper triangular I am interested in adding a shift dummy in the transmission of volatility and i want to add a regime dummy in the variance covariance MATRIX Ht (in some covariances) all non diagonal elements of the A matrix and B matrix [ A(3,3) AND B(3,3)] wi...