ARCH and GARCH Models

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RATS Version 11.1

Last post by TomDoan « Fri Jan 23, 2026 1:01 pm
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by TomDoan » Tue Jun 06, 2017 12:04 pm » in Forum Announcements

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RATS 11: Free Trial Version

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

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Saving conditional variances

Last post by FaeK « Thu Mar 17, 2016 7:35 am
Replies: 2
by FaeK » Thu Mar 17, 2016 7:22 am

2 Replies

5760 Views

Last post by FaeK
Thu Mar 17, 2016 7:35 am
How to get conditional variance & autocorrelation in GARCH?

Last post by TomDoan « Mon Mar 07, 2016 2:29 pm
Replies: 5
by Aixia_Mei » Mon Mar 07, 2016 7:43 am

5 Replies

10094 Views

Last post by TomDoan
Mon Mar 07, 2016 2:29 pm
REGIME DUMMIES IN MGARCH variance-covariance matrix

Last post by TomDoan « Wed Jan 13, 2016 9:56 am
Replies: 5
by amcqeen » Fri Mar 20, 2009 4:02 am

5 Replies

12260 Views

Last post by TomDoan
Wed Jan 13, 2016 9:56 am
BEKK-GARCH constant

Last post by pitsikiou « Tue Jan 12, 2016 5:29 pm
Replies: 11
by fadimohamed » Wed May 25, 2011 4:15 am

11 Replies

21983 Views

Last post by pitsikiou
Tue Jan 12, 2016 5:29 pm
Why Different Results? of Built-in and Frml commands

Last post by TomDoan « Fri Jan 08, 2016 1:53 pm
Replies: 10
by irfanawan » Sat Oct 03, 2015 3:34 am

10 Replies

16728 Views

Last post by TomDoan
Fri Jan 08, 2016 1:53 pm
Calculating determinant of the variance-covariance from DCC

Last post by hyde82 « Fri Dec 25, 2015 1:29 pm
Replies: 4
by hyde82 » Fri Dec 25, 2015 11:07 am

4 Replies

10016 Views

Last post by hyde82
Fri Dec 25, 2015 1:29 pm
vecm - mgarch-bekk

Last post by TomDoan « Tue Dec 22, 2015 1:27 pm
Replies: 29
by Alepruz » Mon Jul 06, 2015 10:34 am
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29 Replies

37364 Views

Last post by TomDoan
Tue Dec 22, 2015 1:27 pm
Matrix of Loadings in VECM-GARCH

Last post by TomDoan « Fri Dec 11, 2015 8:47 am
Replies: 6
by klaus86 » Mon May 11, 2015 10:59 am

6 Replies

11750 Views

Last post by TomDoan
Fri Dec 11, 2015 8:47 am
Jump GARCH model

Last post by TomDoan « Wed Dec 09, 2015 12:42 pm
Replies: 24
by TomDoan » Thu Aug 07, 2008 4:17 pm
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2
24 Replies

49622 Views

Last post by TomDoan
Wed Dec 09, 2015 12:42 pm
Granger causality test in GARCH model

Last post by TomDoan « Wed Dec 02, 2015 11:45 am
Replies: 12
by John » Mon Nov 16, 2015 3:20 pm

12 Replies

18156 Views

Last post by TomDoan
Wed Dec 02, 2015 11:45 am
Difference between VECH AND BEKK Model

Last post by TomDoan « Tue Dec 01, 2015 9:30 am
Replies: 3
by upani » Wed Jan 07, 2015 5:27 am

3 Replies

10670 Views

Last post by TomDoan
Tue Dec 01, 2015 9:30 am
Multivariate Q Stat

Last post by TomDoan « Fri Nov 27, 2015 6:41 pm
Replies: 1
by John » Fri Nov 27, 2015 4:31 pm

1 Replies

6671 Views

Last post by TomDoan
Fri Nov 27, 2015 6:41 pm
MVGarch - Initial values

Last post by TomDoan « Thu Nov 26, 2015 2:31 pm
Replies: 1
by LeCaptain » Thu Nov 26, 2015 11:30 am

1 Replies

6756 Views

Last post by TomDoan
Thu Nov 26, 2015 2:31 pm
ARJI-GARCH-M model

Last post by TomDoan « Mon Nov 23, 2015 10:29 pm
Replies: 6
by Michelle » Sun Nov 22, 2015 8:58 pm

6 Replies

11528 Views

Last post by TomDoan
Mon Nov 23, 2015 10:29 pm
Treatment of Ht in the variance of BEKK(1,1) model

Last post by TomDoan « Sat Nov 21, 2015 4:13 pm
Replies: 1
by arezitis » Sat Nov 21, 2015 1:34 pm

1 Replies

6886 Views

Last post by TomDoan
Sat Nov 21, 2015 4:13 pm
Bayesian Multivariate GARCH-in-mean?

Last post by LeCaptain « Thu Nov 19, 2015 3:58 am
Replies: 2
by LeCaptain » Wed Nov 18, 2015 12:58 pm

2 Replies

7685 Views

Last post by LeCaptain
Thu Nov 19, 2015 3:58 am
Panel garch model

Last post by TomDoan « Wed Oct 28, 2015 8:01 am
Replies: 1
by sanjeev » Wed Oct 28, 2015 3:00 am

1 Replies

6886 Views

Last post by TomDoan
Wed Oct 28, 2015 8:01 am
Estimation of DCC-GARCH model

Last post by TomDoan « Wed Oct 21, 2015 7:40 pm
Replies: 5
by ines_morais » Mon Oct 19, 2015 5:10 pm

5 Replies

11026 Views

Last post by TomDoan
Wed Oct 21, 2015 7:40 pm
convert confidence intervall from differneces in levels

Last post by TomDoan « Fri Sep 18, 2015 1:18 pm
Replies: 1
by Gilbril » Fri Sep 18, 2015 8:20 am

1 Replies

6383 Views

Last post by TomDoan
Fri Sep 18, 2015 1:18 pm
bekk model with dummy

Last post by Qatar « Sun Aug 23, 2015 4:25 am
Replies: 6
by Qatar » Fri Aug 21, 2015 7:21 pm

6 Replies

11069 Views

Last post by Qatar
Sun Aug 23, 2015 4:25 am
News Impact Surface

Last post by Zeus___ « Thu Jul 30, 2015 9:52 pm

by Zeus___ » Thu Jul 30, 2015 9:52 pm

0 Replies

6849 Views

Last post by Zeus___
Thu Jul 30, 2015 9:52 pm
Elder and Serletis(2010) RATS code from Estima

Last post by gorgorm « Mon Jul 06, 2015 2:57 pm
Replies: 2
by gorgorm » Wed Jun 24, 2015 11:28 am

2 Replies

7181 Views

Last post by gorgorm
Mon Jul 06, 2015 2:57 pm
VAR GARCH-M Model

Last post by TomDoan « Thu Jul 02, 2015 9:42 pm
Replies: 26
by HieuNguyen051093 » Wed Mar 11, 2015 12:27 am
1

2
26 Replies

31078 Views

Last post by TomDoan
Thu Jul 02, 2015 9:42 pm
Extracting the residual series from MGARCH-M model

Last post by econo « Wed Jun 17, 2015 4:34 pm
Replies: 20
by msrahman » Sun Nov 25, 2012 11:56 am
1

2
20 Replies

26418 Views

Last post by econo
Wed Jun 17, 2015 4:34 pm
Order of variables in multi-variate GARCH models

Last post by TomDoan « Fri Jun 05, 2015 8:33 am
Replies: 1
by sanjeev » Fri Jun 05, 2015 2:16 am

1 Replies

6014 Views

Last post by TomDoan
Fri Jun 05, 2015 8:33 am

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