The RATS Software Forum

maximize logl 1 is clearly wrong. You can't start at entry 1 since you need lags of the variance and the outer product of the residuals. The start period should be one higher than the range used in estimating the univariate GARCH models. Sorry, I miss a 'star' here it should be Maximize logl 1 * he...

I make some modification based on ''garchmvdcc2''. The main change is colored with red. The MAT15 problem (Subscripts Too Large or Non-Positive ) appears in the Log likelihood for the DCC phase dec vect[series] eps(n) dec vect fullbeta(2*n+2) * * Do univariate GARCH models. Save the standardized res...

Thanks, Tom As you said ‘If you're asking which you want, it's the first. Positive numbers cast doubt on a set of forecasts. The first of these will clearly indicate that the first set of forecasts is better than the second. ’ Does it mean we only check out the forecast that produces negative test s...

TomDoan wrote:

Code: Select all

set v1 = x1-hr*x2

sounds like what you want. Did you have the required spaces before and after the =?

yesyes, i did put space before and after =, but i put space before and after - . oh, i realise space should not be put on -.
it work now. thanks so much!

HI, when i run a programme, i get the error SR4(tried to use series number -5, -series n1 n2 triples are no longer legal). what does the error mean? how to solve the problem? i have series x1 x2 hr1, all series with the same date (they do match, no data dismatch problem) with code ''set v1 = x1 - hr...

What type of model are you estimating? I'd be very concerned if feeding previous estimates through didn't work reliably. If you're using BFGS, you might try also using the HESSIAN=%XX option. Starting BFGS from scratch when you're possibly already near the optimum might not work well. btw, i am doi...

What type of model are you estimating? I'd be very concerned if feeding previous estimates through didn't work reliably. If you're using BFGS, you might try also using the HESSIAN=%XX option. Starting BFGS from scratch when you're possibly already near the optimum might not work well. Thanks, Tom i...

HI, Dear all: i am programming rolling window using maximise (say, the size of window is 500), but it is hard to guarantee the convergence for 500 moving dataset with the same initial value. It is possible to manually adjust initial value for every dataset. I tried to replace the initial value with ...

hi, everyone;
do you any suggestion about how to capture data with rolling window in GARCH model? is it similar with rolling regression?

Thanks for any help

That's the shape of the t-distribution for the residuals, which allows for fatter tails than a Normal. (A Normal would be a special case with nu=infinity). If you use the option DISTRIB=T, the value will be estimated. In most applications, it tends to be between 4 and 10. (It can't be less than 2, ...

Hi, everyone, When i run bivariate GARCH with t distritution with maximize method, i will use command logtdensity (U,V,nu) where 'nu' stand for degrees of freedom, how to calculate it? If nu=no. of observations-no. of parameters to be estimated as we know, when the 'nu>100', the t distribution conve...

Thanks a lot. I put c3=e3=0 and readjust other initial guesses, and it turns out that the skipped/missing data is only 1. Appreciate your help

Hi, dear friends, Anyone is familiar with Quadratic ARCH model? I am running bi-variate Quadratic ARCH model, and i use Maximise command to run it with the variance formulas: h11=c0+c1*u{1}**2+c2*h11{1}+c3*u{1} h12=d0+d1*u{1}*v{1}+d2*h12{1} h22=e0+e1*v{1}**2+e2*h22{1}+e3*v{1} i can get convergence b...

Hey, Everyone,
I am programming asymmetric BI-GARCH models, such as GARCH-GJR, EGARCH, TGARCH. When we use Maximize command, we have to define the covariance formula. Anybody knows where can i find covariance equations?

Thanks a lot in advance