The RATS Software Forum

Dear everyone, I am working on a M-GARCH with volatility reversion model. It is based on the paper 'volatility reversion and correlation structure of returns in major international stock markets' The financial review vol.32 no.2 pp. 205-224. I have modified the ccc-mv-garch code. * OPEN DATA D:\stud...

I am running a multivariate asymmetric dynamic covariance model. The code is as follows, OPEN DATA d:\study\newdataus.XLS ALL 4959 DATA(FORMAT=XLS,ORG=COLUMNS) ****************************************** COMPUTE GSTART=2 , GEND=4959 * n = the number of equations: *************************************...