ARCH and GARCH Models

New Topic

Mark topics read • 403 topics

Page 1 of 17
- Jump to page:
1
2
3
4
5
…
17
Next

Announcements

Replies

Views

Last post

RATS Version 11.1

Last post by TomDoan « Fri Jan 23, 2026 1:01 pm
Posted in Forum Announcements

by TomDoan » Tue Jun 06, 2017 12:04 pm » in Forum Announcements

0 Replies

1584822 Views

Last post by TomDoan
Fri Jan 23, 2026 1:01 pm
RATS 11: Free Trial Version

Last post by RK2509 « Sun Apr 05, 2026 9:17 pm
Posted in RATS Product Announcements
Replies: 2
by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

2 Replies

1516491 Views

Last post by RK2509
Sun Apr 05, 2026 9:17 pm

Topics

Replies

Views

Last post

DECO GARCH error

Last post by TomDoan « Thu Jan 29, 2026 11:03 am
Replies: 1
by econonick » Thu Jan 29, 2026 8:12 am

1 Replies

9945 Views

Last post by TomDoan
Thu Jan 29, 2026 11:03 am
garchmvbootstrap.rpf

Last post by TomDoan « Sun Jan 25, 2026 9:39 pm
Replies: 53
by ac_1 » Mon Sep 29, 2025 1:44 am
1

2

3

4
53 Replies

108042 Views

Last post by TomDoan
Sun Jan 25, 2026 9:39 pm
UV garch model forecasts

Last post by TomDoan « Fri Jan 23, 2026 1:31 pm
Replies: 95
by ac_1 » Sat Aug 26, 2023 11:55 am
1

…

3

4

5

6

7
95 Replies

2385503 Views

Last post by TomDoan
Fri Jan 23, 2026 1:31 pm
Extreme Value Theory (EVT): Hill estimator

Last post by TomDoan « Thu Jan 22, 2026 7:32 am
Replies: 7
by ac_1 » Sun Jan 18, 2026 3:02 am

7 Replies

8657 Views

Last post by TomDoan
Thu Jan 22, 2026 7:32 am
garchmv.rpf

Last post by TomDoan « Thu Nov 06, 2025 9:08 pm
Replies: 16
by ac_1 » Sat Oct 04, 2025 12:46 pm
1

2
16 Replies

56878 Views

Last post by TomDoan
Thu Nov 06, 2025 9:08 pm
APARCH model

Last post by TomDoan « Mon Sep 22, 2025 2:56 pm
Replies: 15
by ac_1 » Mon Sep 15, 2025 5:26 am
1

2
15 Replies

81371 Views

Last post by TomDoan
Mon Sep 22, 2025 2:56 pm
Significance of multi-step ahead forecasts from risk algo's

Last post by ac_1 « Sun Aug 24, 2025 12:39 pm
Replies: 2
by ac_1 » Sat Aug 23, 2025 2:08 am

2 Replies

47972 Views

Last post by ac_1
Sun Aug 24, 2025 12:39 pm
Restrictions on the conditional covariances

Last post by tx_ecnmst « Mon Mar 31, 2025 11:30 pm
Replies: 2
by tx_ecnmst » Sun Mar 30, 2025 11:26 am

2 Replies

37466 Views

Last post by tx_ecnmst
Mon Mar 31, 2025 11:30 pm
Saving GARCH model parameter estimates

Last post by tx_ecnmst « Sat Mar 08, 2025 1:15 pm
Replies: 5
by tx_ecnmst » Sat Feb 15, 2025 9:47 am

5 Replies

32115 Views

Last post by tx_ecnmst
Sat Mar 08, 2025 1:15 pm
GARCH Model with Day of Week Dummies

Last post by TomDoan « Sat Dec 16, 2023 5:03 pm
Replies: 43
by jack » Fri Nov 17, 2023 8:21 am
1

2

3
43 Replies

154799 Views

Last post by TomDoan
Sat Dec 16, 2023 5:03 pm
UV MAX garch model forecasts

Last post by TomDoan « Thu Nov 23, 2023 1:05 pm
Replies: 17
by ac_1 » Fri Nov 10, 2023 12:35 pm
1

2
17 Replies

72943 Views

Last post by TomDoan
Thu Nov 23, 2023 1:05 pm
The diagnostics tests for multivariate GARCH

Last post by jack « Fri Nov 17, 2023 3:05 am
Replies: 14
by jack » Wed Oct 25, 2023 3:20 pm

14 Replies

58334 Views

Last post by jack
Fri Nov 17, 2023 3:05 am
VECM-GARCH Model

Last post by TomDoan « Tue Jun 06, 2023 9:10 am
Replies: 67
by faaequah13 » Thu Jul 02, 2020 3:26 pm
1

2

3

4

5
67 Replies

378894 Views

Last post by TomDoan
Tue Jun 06, 2023 9:10 am
VAR BEKK GARCH estimation

Last post by TomDoan « Tue Jun 06, 2023 9:04 am
Replies: 1
by jimm306 » Tue Jun 06, 2023 2:36 am

1 Replies

39670 Views

Last post by TomDoan
Tue Jun 06, 2023 9:04 am
Multivariate GARCH model with dummies

Last post by TomDoan « Sun Apr 16, 2023 4:46 pm
Replies: 8
by jack » Sun Aug 28, 2022 2:06 pm

8 Replies

67396 Views

Last post by TomDoan
Sun Apr 16, 2023 4:46 pm
ROBUSTERRORS

Last post by TomDoan « Wed Mar 29, 2023 12:28 pm
Replies: 5
by jimm306 » Thu Mar 02, 2023 4:50 pm

5 Replies

45415 Views

Last post by TomDoan
Wed Mar 29, 2023 12:28 pm
Recursive window-based MGARCH-M

Last post by hasanov « Sat Dec 10, 2022 7:24 pm

by hasanov » Sat Dec 10, 2022 7:24 pm

0 Replies

40519 Views

Last post by hasanov
Sat Dec 10, 2022 7:24 pm
IRF FOR GARCH BEKK MODEL

Last post by TomDoan « Mon Oct 31, 2022 9:04 pm
Replies: 1
by irfansystem » Sun Oct 30, 2022 8:57 pm

1 Replies

45423 Views

Last post by TomDoan
Mon Oct 31, 2022 9:04 pm
MV GARCH interpretation

Last post by MinaAyad « Wed Oct 12, 2022 11:19 am

by MinaAyad » Wed Oct 12, 2022 11:19 am

0 Replies

44722 Views

Last post by MinaAyad
Wed Oct 12, 2022 11:19 am
how to summarize VECH coefficients MVGARCH-BEKK Model

Last post by upani « Wed Jun 01, 2022 11:29 pm
Replies: 5
by upani » Sat Jun 06, 2020 1:37 pm

5 Replies

51421 Views

Last post by upani
Wed Jun 01, 2022 11:29 pm
VAR(1)-BEKK-GARCH(1,1) Model

Last post by TomDoan « Fri Jan 28, 2022 9:31 am
Replies: 47
by humyra » Sun Jun 11, 2017 7:23 am
1

2

3

4
47 Replies

303974 Views

Last post by TomDoan
Fri Jan 28, 2022 9:31 am
Beginner problems in DCC-GARCH

Last post by TomDoan « Thu Jan 27, 2022 8:31 am
Replies: 104
by juustone » Mon Jul 20, 2015 12:43 pm
1

…

3

4

5

6

7
104 Replies

2001863 Views

Last post by TomDoan
Thu Jan 27, 2022 8:31 am
Researchers dont discuss "magnitude of volatilityspillover"

Last post by curiousresearcher « Wed Jan 26, 2022 1:45 pm
Replies: 2
by curiousresearcher » Mon Jan 10, 2022 11:28 pm

2 Replies

44058 Views

Last post by curiousresearcher
Wed Jan 26, 2022 1:45 pm
VAR BEKK AND DCC

Last post by jimm306 « Wed Dec 01, 2021 1:58 am

by jimm306 » Wed Dec 01, 2021 1:58 am

0 Replies

41725 Views

Last post by jimm306
Wed Dec 01, 2021 1:58 am
Panel GARCH? (Cermeno and Grier, 2006)

Last post by MartaAC « Tue Nov 16, 2021 8:14 am
Replies: 61
by ksvirydzenka » Mon Jun 07, 2010 10:06 am
1

2

3

4

5
61 Replies

363528 Views

Last post by MartaAC
Tue Nov 16, 2021 8:14 am

New Topic

Mark topics read • 403 topics

Page 1 of 17
- Jump to page:
1
2
3
4
5
…
17
Next

Return to Board Index

Forum permissions

You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum