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ARCH and GARCH Models
Discussions of ARCH, GARCH, and related models
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RATS Version 10
by TomDoan » Tue Jun 06, 2017 12:04 pm- 0 Replies
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Tue Nov 20, 2018 12:05 am
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- RATS 10: Free Trial Version
by moderator » Tue Sep 25, 2012 5:10 pm - 0 Replies
- 439508 Views
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Wed Mar 27, 2013 12:39 pm
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- how to summarize VECH coefficients MVGARCH-BEKK Model
by upani » Sat Jun 06, 2020 1:37 pm
- 5 Replies
- 3274 Views
- Last post by upani
Wed Jun 01, 2022 11:29 pm
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- Researchers dont discuss "magnitude of volatilityspillover"
by curiousresearcher » Tue Jan 11, 2022 12:28 am - 2 Replies
- 855 Views
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Wed Jan 26, 2022 2:45 pm
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- VAR BEKK AND DCC
by jimm306 » Wed Dec 01, 2021 2:58 am - 0 Replies
- 1033 Views
- Last post by jimm306
Wed Dec 01, 2021 2:58 am
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- Panel GARCH? (Cermeno and Grier, 2006)
1, 2, 3, 4, 5 by ksvirydzenka » Mon Jun 07, 2010 10:06 am
- 63 Replies
- 62050 Views
- Last post by MartaAC
Tue Nov 16, 2021 9:14 am
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- VAR BEKK GARCH (optimal weight, hedge ratio, and hedging)
by HamaNadia » Mon Oct 11, 2021 11:01 am - 1 Replies
- 1242 Views
- Last post by TomDoan
Wed Oct 20, 2021 10:48 am
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- VAR BEKK-GARCH
by HamaNadia » Sat Sep 04, 2021 12:15 pm
- 1 Replies
- 3344 Views
- Last post by TomDoan
Sat Sep 04, 2021 3:57 pm
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- Dynamic Equicorrelation (DECO)
by TomDoan » Wed Feb 10, 2010 1:21 pm
- 8 Replies
- 13909 Views
- Last post by TomDoan
Thu Sep 02, 2021 11:13 am
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- VAR Asymmetric-BEKK GARCH
by HamaNadia » Wed Aug 04, 2021 8:31 am - 8 Replies
- 3391 Views
- Last post by HamaNadia
Wed Aug 04, 2021 6:02 pm
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- No convergence in Bivariate GARCH in Mean
1, 2 by melkania » Tue Jun 29, 2021 2:28 pm
- 15 Replies
- 6121 Views
- Last post by TomDoan
Tue Aug 03, 2021 12:33 pm
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- Dynamic Conditional Beta
by Narci4269 » Mon Apr 12, 2021 11:58 pm
- 3 Replies
- 2818 Views
- Last post by Narci4269
Sun May 23, 2021 9:12 pm
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- Threshold ARCH (TARCH) model
by ac_1 » Wed Apr 28, 2021 3:32 pm - 2 Replies
- 2519 Views
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Fri Apr 30, 2021 8:03 am
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- MULTIVARIATE SKEW STUDENT'S t
by jimm306 » Tue Apr 20, 2021 3:12 pm - 0 Replies
- 1682 Views
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Tue Apr 20, 2021 3:12 pm
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- Volatility Spillover results interpretation BEKK
by ek95 » Fri Dec 20, 2019 9:40 am
- 8 Replies
- 6227 Views
- Last post by curiousresearcher
Wed Apr 14, 2021 9:13 pm
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- dealing with missiing data (time series)
by curiousresearcher » Thu Apr 08, 2021 2:34 am - 1 Replies
- 1775 Views
- Last post by TomDoan
Fri Apr 09, 2021 7:56 am
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- DCC GARCH with t distribution and Maximize
by Narci4269 » Sun Feb 14, 2021 12:53 pm
- 6 Replies
- 3543 Views
- Last post by Narci4269
Thu Mar 04, 2021 2:31 pm
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- VAR AGARCH model (optimal weight, hedge ratio and Hedging )
1, 2 by Imranyousaf09 » Thu Apr 11, 2019 2:23 pm
- 16 Replies
- 16209 Views
- Last post by ndanila
Wed Feb 24, 2021 2:43 am
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- Multivariate GARCH with optimum Hedge in mean
by Narci4269 » Tue Feb 09, 2021 11:50 am - 2 Replies
- 2331 Views
- Last post by Narci4269
Tue Feb 16, 2021 10:03 am
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- Identification of VIRFs
by Jules89 » Tue Jan 05, 2021 4:14 pm - 0 Replies
- 2163 Views
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Tue Jan 05, 2021 4:14 pm
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- Structure Break in Variance Equation of MGARCH
1, 2 by prashantj » Wed Dec 09, 2020 11:44 pm
- 29 Replies
- 11018 Views
- Last post by prashantj
Fri Dec 18, 2020 1:15 pm
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- Regarding standard errors in GIRF for VAR-GARCH model
by Owen Wang » Mon Jan 06, 2020 8:25 am - 1 Replies
- 3503 Views
- Last post by TomDoan
Wed Nov 11, 2020 10:58 pm
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- VAR-GARCH-M GIRF
by dcano » Tue Sep 22, 2020 5:42 pm - 1 Replies
- 2584 Views
- Last post by TomDoan
Wed Oct 28, 2020 3:26 pm
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- GARCH w/ dummy variance
by dcano » Tue Sep 22, 2020 5:36 pm - 0 Replies
- 1880 Views
- Last post by dcano
Tue Sep 22, 2020 5:36 pm
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