The RATS Software Forum

gembala119 wrote:Dear Sir
After we do trivariate or bivariate garch model, how we make graphs of variance and covariance of bivariate or trivariate
kim

you can graph the variance and covariance with RATs by using the command "graph" plus some options or you can print the results and graph it with Excel.

I have a new problem now with the MVGARCH-DCC. After adding "variance=varma" option i got the results like this: Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Mean(1) 0.000145192 0.000298354 0.48664 0.62651077 2. M...

I found it out just after my post, still thank you for the immediate reply.

Zhang

Dear Sir, I use the following codes to estimate a VAR-GARCH-DCC model, how can i do the specification test such as serial correlation or Heteroscedasticity of residual from the vaiance equations? Thanks alot . * * Multivariate GARCH with two-step DCC estimator * open data fulldata.xls data(format=xl...

moderator wrote:Including asymmetry terms is covered in the manuals. See "GARCH" in the Reference Manual and Chapter 12 in the User's Guide.

the manual demonsrates the GJR ,right?
My question is about estimating a ADCC model, am I right?
Tks.

Zhang

Here's an example paper:
http://ideas.repec.org/a/eee/quaeco/v47 ... l#download

Hope u will understand what i said.

Thanks.

Zhang

there's a paper"Jumps and dynamic volatility relationship between equity and bond returns" by Elton Daal etc. who use a multivariate GARCH jump model, i can't find the link, May i have you email address so i can email you the soft copy?

Thanks alot.

Zhang

Thanks for your response.
My purpose is to investigate the jumps and volatility linkages between several markets(say,three). How can I modify the Rats example procedure(which is a univariate model ) into a multivariate GARCH model?
Thanks again.


Zhang

The VARIANCES=VARMA option with DCC generalizes the standard DCC to allow interaction terms in the variances. See page 430 of the User's Guide. This really helps a lot for my dissertation. I have another question: In some papers, the coefficients of own lags and cross-correlation volatilies and sho...

thanks a lot:)

Im trying to combine VAR and jump GARCH, anybody can help to do the programming ? Tks:)

[quote="amcqeen"]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 ...

thanks a lot:)

how can i include the asymmetric effect in the codes? Tks:)