ARCH and GARCH Models

New Topic

Mark topics read • 403 topics

Page 5 of 17
- Jump to page:
Previous
1
…
3
4
5
6
7
…
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

2730726 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

2621389 Views

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

Topics

Replies

Views

Last post

Adding Lags to the Mean Model of a Multivariate GARCH Model

Last post by TomDoan « Sat Dec 02, 2017 7:10 pm
Replies: 1
by Zankawa » Sat Dec 02, 2017 4:16 pm

1 Replies

7171 Views

Last post by TomDoan
Sat Dec 02, 2017 7:10 pm
Diagnostic Test for Multivariate GARCH Model

Last post by TomDoan « Sat Dec 02, 2017 3:09 pm
Replies: 13
by Zankawa » Mon Nov 27, 2017 6:03 pm

13 Replies

34168 Views

Last post by TomDoan
Sat Dec 02, 2017 3:09 pm
Restrictions in the mean equation of a traingular BEKK

Last post by Zankawa « Sun Nov 26, 2017 5:46 am
Replies: 6
by Zankawa » Fri Nov 24, 2017 4:00 am

6 Replies

10882 Views

Last post by Zankawa
Sun Nov 26, 2017 5:46 am
Achieving Convergence in Simple VECH Model

Last post by TomDoan « Wed Nov 22, 2017 2:06 pm
Replies: 3
by Zankawa » Wed Nov 22, 2017 12:00 pm

3 Replies

8327 Views

Last post by TomDoan
Wed Nov 22, 2017 2:06 pm
Residuals and Variance of GARCH-BEKK Model

Last post by TomDoan « Tue Nov 21, 2017 7:58 pm
Replies: 1
by Zankawa » Tue Nov 21, 2017 6:03 pm

1 Replies

6535 Views

Last post by TomDoan
Tue Nov 21, 2017 7:58 pm
Exogenous variable in a BEKK model

Last post by TomDoan « Thu Oct 19, 2017 12:40 pm
Replies: 3
by Zankawa » Wed Oct 18, 2017 12:53 pm

3 Replies

8386 Views

Last post by TomDoan
Thu Oct 19, 2017 12:40 pm
BEKK stability check

Last post by TomDoan « Sat Sep 23, 2017 12:23 pm
Replies: 8
by fatemaalaali » Wed Jan 25, 2017 8:30 am

8 Replies

14165 Views

Last post by TomDoan
Sat Sep 23, 2017 12:23 pm
Negative coefficient of leverage effect in TGARCH model

Last post by TomDoan « Wed Sep 13, 2017 12:56 pm
Replies: 25
by jack » Mon Sep 04, 2017 12:37 pm
1

2
25 Replies

58979 Views

Last post by TomDoan
Wed Sep 13, 2017 12:56 pm
Testing Standardized residuals

Last post by TomDoan « Mon Sep 04, 2017 12:53 pm
Replies: 3
by mlaz » Thu Dec 12, 2013 11:59 am

3 Replies

11845 Views

Last post by TomDoan
Mon Sep 04, 2017 12:53 pm
when to prefer asymmetric bekk over symmetric one...

Last post by TomDoan « Wed Aug 30, 2017 4:08 pm
Replies: 3
by kula » Tue Aug 29, 2017 4:02 am

3 Replies

8813 Views

Last post by TomDoan
Wed Aug 30, 2017 4:08 pm
Two sets of std. residuals in mgarch estimation...

Last post by TomDoan « Tue Aug 29, 2017 8:53 am
Replies: 7
by kula » Mon Aug 28, 2017 9:01 am

7 Replies

12011 Views

Last post by TomDoan
Tue Aug 29, 2017 8:53 am
Issues with DCC-GARCH

Last post by TomDoan « Wed Jul 19, 2017 12:05 pm
Replies: 7
by OS27 » Wed Jul 19, 2017 8:11 am

7 Replies

13184 Views

Last post by TomDoan
Wed Jul 19, 2017 12:05 pm
missing values

Last post by TomDoan « Tue Jul 18, 2017 8:47 am
Replies: 5
by bkoksal » Thu May 15, 2008 8:50 am

5 Replies

13816 Views

Last post by TomDoan
Tue Jul 18, 2017 8:47 am
MGARCH with robust option

Last post by TomDoan « Thu Jul 06, 2017 7:29 am
Replies: 5
by veryconfusedmgarch » Mon Jul 03, 2017 10:01 am

5 Replies

27811 Views

Last post by TomDoan
Thu Jul 06, 2017 7:29 am
ARMA-GARCH Model

Last post by TomDoan « Fri Jun 23, 2017 8:18 am
Replies: 1
by zizou » Fri Jun 23, 2017 4:33 am

1 Replies

74682 Views

Last post by TomDoan
Fri Jun 23, 2017 8:18 am
RE:Cross volatility

Last post by TomDoan « Thu Jun 22, 2017 2:28 pm
Replies: 5
by veryconfusedmgarch » Wed Jun 21, 2017 12:01 pm

5 Replies

15327 Views

Last post by TomDoan
Thu Jun 22, 2017 2:28 pm
Residuals of VARMA-GARCH Model

Last post by lirona « Fri Jun 16, 2017 2:03 am
Replies: 15
by lirona » Tue Jun 13, 2017 9:12 am
1

2
15 Replies

52024 Views

Last post by lirona
Fri Jun 16, 2017 2:03 am
Bivariate VAR(4) GARCH(1,1)-BEKK model quality

Last post by elisabettac « Tue Jun 13, 2017 3:33 pm
Replies: 6
by elisabettac » Tue Jun 13, 2017 8:19 am

6 Replies

10954 Views

Last post by elisabettac
Tue Jun 13, 2017 3:33 pm
Asymmetric Trivariate GARCH BEKK for Volatility Spillovers

Last post by humyra « Tue Jun 13, 2017 10:38 am
Replies: 10
by elisabettac » Tue Mar 14, 2017 7:56 pm

10 Replies

15023 Views

Last post by humyra
Tue Jun 13, 2017 10:38 am
Diagonal VARMA-GARCH Model (Ling&McAleer)

Last post by TomDoan « Tue Jun 13, 2017 9:57 am
Replies: 1
by lirona » Tue Jun 13, 2017 9:14 am

1 Replies

6121 Views

Last post by TomDoan
Tue Jun 13, 2017 9:57 am
Negative GARCH coefficients in VAR-BEKK-GARCH

Last post by TomDoan « Mon Jun 12, 2017 11:39 am
Replies: 1
by humyra » Mon Jun 12, 2017 11:06 am

1 Replies

6316 Views

Last post by TomDoan
Mon Jun 12, 2017 11:39 am
Element of covariance matrix in Multivariate GARCH-M model

Last post by TomDoan « Sun Jun 04, 2017 2:39 pm
Replies: 5
by mengqi » Sat Apr 08, 2017 8:26 am

5 Replies

10821 Views

Last post by TomDoan
Sun Jun 04, 2017 2:39 pm
Test for size and sign bias in variance

Last post by TomDoan « Sun May 14, 2017 11:31 am
Replies: 5
by abi » Sun Jul 28, 2013 11:03 pm

5 Replies

13025 Views

Last post by TomDoan
Sun May 14, 2017 11:31 am
Bivariate Garch Model with dummy and interactions

Last post by Lena « Fri Apr 07, 2017 1:09 am
Replies: 24
by Jason Gong » Thu May 05, 2016 7:38 am
1

2
24 Replies

45205 Views

Last post by Lena
Fri Apr 07, 2017 1:09 am
standardise residual for diagnostic test for MGARCH

Last post by TomDoan « Mon Mar 13, 2017 9:49 am
Replies: 5
by mengqi » Sun Mar 12, 2017 1:16 pm

5 Replies

9930 Views

Last post by TomDoan
Mon Mar 13, 2017 9:49 am

New Topic

Mark topics read • 403 topics

Page 5 of 17
- Jump to page:
Previous
1
…
3
4
5
6
7
…
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