ARCH and GARCH Models

New Topic

Mark topics read • 403 topics

Page 2 of 17
- Jump to page:
Previous
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

1854575 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

1762087 Views

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

Topics

Replies

Views

Last post

VAR BEKK GARCH (optimal weight, hedge ratio, and hedging)

Last post by TomDoan « Wed Oct 20, 2021 10:48 am
Replies: 1
by HamaNadia » Mon Oct 11, 2021 11:01 am

1 Replies

41544 Views

Last post by TomDoan
Wed Oct 20, 2021 10:48 am
VAR BEKK-GARCH

Last post by TomDoan « Sat Sep 04, 2021 3:57 pm
Replies: 1
by HamaNadia » Sat Sep 04, 2021 12:15 pm

1 Replies

42978 Views

Last post by TomDoan
Sat Sep 04, 2021 3:57 pm
VAR Asymmetric-BEKK GARCH

Last post by HamaNadia « Wed Aug 04, 2021 6:02 pm
Replies: 8
by HamaNadia » Wed Aug 04, 2021 8:31 am

8 Replies

40871 Views

Last post by HamaNadia
Wed Aug 04, 2021 6:02 pm
No convergence in Bivariate GARCH in Mean

Last post by TomDoan « Tue Aug 03, 2021 12:33 pm
Replies: 15
by melkania » Tue Jun 29, 2021 2:28 pm
1

2
15 Replies

79049 Views

Last post by TomDoan
Tue Aug 03, 2021 12:33 pm
Dynamic Conditional Beta

Last post by Narci4269 « Sun May 23, 2021 9:12 pm
Replies: 3
by Narci4269 » Mon Apr 12, 2021 11:58 pm

3 Replies

29209 Views

Last post by Narci4269
Sun May 23, 2021 9:12 pm
Threshold ARCH (TARCH) model

Last post by ac_1 « Fri Apr 30, 2021 8:03 am
Replies: 2
by ac_1 » Wed Apr 28, 2021 3:32 pm

2 Replies

24576 Views

Last post by ac_1
Fri Apr 30, 2021 8:03 am
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

8 Replies

31046 Views

Last post by curiousresearcher
Wed Apr 14, 2021 9:13 pm
dealing with missiing data (time series)

Last post by TomDoan « Fri Apr 09, 2021 7:56 am
Replies: 1
by curiousresearcher » Thu Apr 08, 2021 2:34 am

1 Replies

9584 Views

Last post by TomDoan
Fri Apr 09, 2021 7:56 am
DCC GARCH with t distribution and Maximize

Last post by Narci4269 « Thu Mar 04, 2021 1:31 pm
Replies: 6
by Narci4269 » Sun Feb 14, 2021 11:53 am

6 Replies

14375 Views

Last post by Narci4269
Thu Mar 04, 2021 1:31 pm
VAR AGARCH model (optimal weight, hedge ratio and Hedging )

Last post by ndanila « Wed Feb 24, 2021 1:43 am
Replies: 16
by Imranyousaf09 » Thu Apr 11, 2019 2:23 pm
1

2
16 Replies

44175 Views

Last post by ndanila
Wed Feb 24, 2021 1:43 am
Multivariate GARCH with optimum Hedge in mean

Last post by Narci4269 « Tue Feb 16, 2021 9:03 am
Replies: 2
by Narci4269 » Tue Feb 09, 2021 10:50 am

2 Replies

8626 Views

Last post by Narci4269
Tue Feb 16, 2021 9:03 am
Identification of VIRFs

Last post by Jules89 « Tue Jan 05, 2021 3:14 pm

by Jules89 » Tue Jan 05, 2021 3:14 pm

0 Replies

7510 Views

Last post by Jules89
Tue Jan 05, 2021 3:14 pm
Structure Break in Variance Equation of MGARCH

Last post by prashantj « Fri Dec 18, 2020 12:15 pm
Replies: 28
by prashantj » Wed Dec 09, 2020 10:44 pm
1

2
28 Replies

42800 Views

Last post by prashantj
Fri Dec 18, 2020 12:15 pm
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
1

2

3
39 Replies

65146 Views

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
Replies: 1
by Owen Wang » Mon Jan 06, 2020 7:25 am

1 Replies

7222 Views

Last post by TomDoan
Wed Nov 11, 2020 9:58 pm
VAR-GARCH-M GIRF

Last post by TomDoan « Wed Oct 28, 2020 3:26 pm
Replies: 1
by dcano » Tue Sep 22, 2020 5:42 pm

1 Replies

6434 Views

Last post by TomDoan
Wed Oct 28, 2020 3:26 pm
GARCH w/ dummy variance

Last post by dcano « Tue Sep 22, 2020 5:36 pm

by dcano » Tue Sep 22, 2020 5:36 pm

0 Replies

5729 Views

Last post by dcano
Tue Sep 22, 2020 5:36 pm
VAR-GARCH-M square

Last post by dcano « Thu Sep 17, 2020 10:27 pm
Replies: 2
by dcano » Tue Sep 15, 2020 6:46 pm

2 Replies

6129 Views

Last post by dcano
Thu Sep 17, 2020 10:27 pm
command for Ljung-Box test Q2 (20)

Last post by TomDoan « Fri Aug 07, 2020 12:18 pm
Replies: 5
by curiousresearcher » Wed Aug 05, 2020 7:04 am

5 Replies

13110 Views

Last post by TomDoan
Fri Aug 07, 2020 12:18 pm
GARCH Ecourse: SVAR-GARCH Question

Last post by e1983 « Fri Jul 31, 2020 8:25 pm
Replies: 4
by e1983 » Thu Jul 30, 2020 4:08 pm

4 Replies

8418 Views

Last post by e1983
Fri Jul 31, 2020 8:25 pm
Covariance matrix of DCC-GARCH parameter estimates

Last post by TomDoan « Mon Jul 27, 2020 9:19 pm
Replies: 5
by Jules89 » Mon Jun 22, 2020 8:11 am

5 Replies

9328 Views

Last post by TomDoan
Mon Jul 27, 2020 9:19 pm
Confusion on how total spillover relationship by bekk garch

Last post by TomDoan « Sat Jul 25, 2020 1:12 pm
Replies: 1
by curiousresearcher » Fri Jul 24, 2020 3:45 pm

1 Replies

5927 Views

Last post by TomDoan
Sat Jul 25, 2020 1:12 pm
Rolling-VAR-MGARCH-M

Last post by hasanov « Thu Jul 02, 2020 10:58 am
Replies: 53
by hasanov » Sat Sep 01, 2018 10:40 am
1

2

3

4
53 Replies

85879 Views

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

Last post by TomDoan « Thu Jun 11, 2020 8:08 pm
Replies: 1
by curiousresearcher » Sun Jun 07, 2020 9:45 am

1 Replies

6170 Views

Last post by TomDoan
Thu Jun 11, 2020 8:08 pm
BEKK model with VAR (1)

Last post by TomDoan « Thu Jun 11, 2020 9:38 am
Replies: 3
by upani » Thu Jun 11, 2020 6:17 am

3 Replies

7152 Views

Last post by TomDoan
Thu Jun 11, 2020 9:38 am

New Topic

Mark topics read • 403 topics

Page 2 of 17
- Jump to page:
Previous
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