ARCH and GARCH Models

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RATS Version 11

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RATS 11.0: Free Trial Version

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VAR Asymmetric-BEKK GARCH

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by HamaNadia » Wed Aug 04, 2021 8:31 am

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No convergence in Bivariate GARCH in Mean

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by melkania » Tue Jun 29, 2021 2:28 pm
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by Narci4269 » Mon Apr 12, 2021 11:58 pm

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by ac_1 » Wed Apr 28, 2021 3:32 pm

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Volatility Spillover results interpretation BEKK

Last post by curiousresearcher « Wed Apr 14, 2021 9:13 pm
Replies: 8
by ek95 » Fri Dec 20, 2019 8:40 am

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Last post by curiousresearcher
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dealing with missiing data (time series)

Last post by TomDoan « Fri Apr 09, 2021 7:56 am
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by curiousresearcher » Thu Apr 08, 2021 2:34 am

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DCC GARCH with t distribution and Maximize

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by Narci4269 » Sun Feb 14, 2021 11:53 am

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VAR AGARCH model (optimal weight, hedge ratio and Hedging )

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by Imranyousaf09 » Thu Apr 11, 2019 2:23 pm
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Wed Feb 24, 2021 1:43 am
Multivariate GARCH with optimum Hedge in mean

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by Narci4269 » Tue Feb 09, 2021 10:50 am

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Identification of VIRFs

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by Jules89 » Tue Jan 05, 2021 3:14 pm

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Structure Break in Variance Equation of MGARCH

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Replies: 28
by prashantj » Wed Dec 09, 2020 10:44 pm
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Last post by prashantj
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negative coefficients of ARCH terms in MGARCH-BEKK

Last post by prashantj « Wed Dec 02, 2020 7:26 pm
Replies: 39
by prashantj » Sat Apr 05, 2014 11:48 pm
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Last post by prashantj
Wed Dec 02, 2020 7:26 pm
Regarding standard errors in GIRF for VAR-GARCH model

Last post by TomDoan « Wed Nov 11, 2020 9:58 pm
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by Owen Wang » Mon Jan 06, 2020 7:25 am

1 Replies

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VAR-GARCH-M GIRF

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by dcano » Tue Sep 22, 2020 5:42 pm

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GARCH w/ dummy variance

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by dcano » Tue Sep 22, 2020 5:36 pm

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VAR-GARCH-M square

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by dcano » Tue Sep 15, 2020 6:46 pm

2 Replies

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command for Ljung-Box test Q2 (20)

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by curiousresearcher » Wed Aug 05, 2020 7:04 am

5 Replies

10637 Views

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GARCH Ecourse: SVAR-GARCH Question

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Replies: 4
by e1983 » Thu Jul 30, 2020 4:08 pm

4 Replies

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Covariance matrix of DCC-GARCH parameter estimates

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by Jules89 » Mon Jun 22, 2020 8:11 am

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Confusion on how total spillover relationship by bekk garch

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by curiousresearcher » Fri Jul 24, 2020 3:45 pm

1 Replies

5153 Views

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Rolling-VAR-MGARCH-M

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Replies: 53
by hasanov » Sat Sep 01, 2018 10:40 am
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53 Replies

67957 Views

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Thu Jul 02, 2020 10:58 am
Some theoritical queries related to BEKK GARCH

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Replies: 1
by curiousresearcher » Sun Jun 07, 2020 9:45 am

1 Replies

5537 Views

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BEKK model with VAR (1)

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by upani » Thu Jun 11, 2020 6:17 am

3 Replies

6158 Views

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Number of variables should be included in GARCH-BEKK

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Replies: 2
by lendraniestiko01 » Fri May 22, 2020 10:16 pm

2 Replies

5776 Views

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Looping for VAR-BEKK GARCH Model

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Replies: 6
by lendraniestiko01 » Mon May 18, 2020 9:32 am

6 Replies

8991 Views

Last post by lendraniestiko01
Fri May 22, 2020 7:10 pm

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