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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RATS 11: Free Trial Version

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dynamic conditional correlation

Last post by hashem « Mon Jan 24, 2011 9:51 am
Replies: 2
by hashem » Mon Jan 24, 2011 8:51 am

2 Replies

6699 Views

Last post by hashem
Mon Jan 24, 2011 9:51 am
VARMAX-GARCH-BEKK

Last post by TomDoan « Tue Jan 18, 2011 1:54 pm
Replies: 3
by hashem » Sun Jan 16, 2011 12:57 pm

3 Replies

7691 Views

Last post by TomDoan
Tue Jan 18, 2011 1:54 pm
BIVARIATE BEKK GARCH

Last post by myousefi1360 « Wed Dec 08, 2010 5:02 am
Replies: 6
by myousefi1360 » Mon Nov 29, 2010 9:34 am

6 Replies

11018 Views

Last post by myousefi1360
Wed Dec 08, 2010 5:02 am
Hansen IER 1994 Replication

Last post by TomDoan « Mon Nov 29, 2010 5:40 pm

by TomDoan » Mon Nov 29, 2010 5:40 pm

0 Replies

4537 Views

Last post by TomDoan
Mon Nov 29, 2010 5:40 pm
FIEGARCH model

Last post by TomDoan « Tue Oct 17, 2017 4:37 pm
Replies: 22
by TomDoan » Mon Jul 19, 2010 9:47 am
1

2
22 Replies

38071 Views

Last post by TomDoan
Tue Oct 17, 2017 4:37 pm
DCC with skewed multivariate t distribution

Last post by TomDoan « Thu Oct 28, 2010 11:30 am
Replies: 1
by Frank » Tue Oct 26, 2010 7:27 pm

1 Replies

6130 Views

Last post by TomDoan
Thu Oct 28, 2010 11:30 am
Using Maximize with GARCH model

Last post by ivory4 « Mon Sep 27, 2010 5:02 pm
Replies: 2
by ivory4 » Sat Sep 25, 2010 2:08 am

2 Replies

7146 Views

Last post by ivory4
Mon Sep 27, 2010 5:02 pm
GARCH models with surprises in the volatility equation

Last post by TomDoan « Mon Sep 27, 2010 3:52 pm
Replies: 3
by IRJ » Wed Sep 22, 2010 4:49 am

3 Replies

7072 Views

Last post by TomDoan
Mon Sep 27, 2010 3:52 pm
How to interpret the BEKK coefficients?

Last post by garchrookie « Sat Aug 21, 2010 5:11 am

by garchrookie » Sat Aug 21, 2010 5:11 am

0 Replies

4613 Views

Last post by garchrookie
Sat Aug 21, 2010 5:11 am
Modify the variance equation in MGARCH

Last post by garchrookie « Sat Aug 21, 2010 4:47 am

by garchrookie » Sat Aug 21, 2010 4:47 am

0 Replies

4444 Views

Last post by garchrookie
Sat Aug 21, 2010 4:47 am
VAR E-GARCH with dummies

Last post by TomDoan « Tue Aug 10, 2010 12:23 pm
Replies: 19
by Eric » Mon Jul 26, 2010 4:46 pm
1

2
19 Replies

26471 Views

Last post by TomDoan
Tue Aug 10, 2010 12:23 pm
TGARCH

Last post by TomDoan « Mon Aug 09, 2010 1:20 pm
Replies: 11
by marcia » Thu Aug 05, 2010 3:11 am

11 Replies

13276 Views

Last post by TomDoan
Mon Aug 09, 2010 1:20 pm
GARCH variants (univariate)

Last post by TomDoan « Wed Aug 04, 2010 7:57 pm

by TomDoan » Wed Aug 04, 2010 7:57 pm

0 Replies

4623 Views

Last post by TomDoan
Wed Aug 04, 2010 7:57 pm
MV-GARCH-M with square roots

Last post by TomDoan « Wed Jul 21, 2010 12:28 pm

by TomDoan » Wed Jul 21, 2010 12:28 pm

0 Replies

5416 Views

Last post by TomDoan
Wed Jul 21, 2010 12:28 pm
GARCH with rolling data

Last post by TomDoan « Thu Jul 01, 2010 5:28 pm
Replies: 2
by wendyyuan » Mon May 24, 2010 9:59 am

2 Replies

6276 Views

Last post by TomDoan
Thu Jul 01, 2010 5:28 pm
non-negative constraints

Last post by TomDoan « Sat Jun 26, 2010 12:09 pm
Replies: 1
by sschenatntu » Sat Jun 26, 2010 11:14 am

1 Replies

5254 Views

Last post by TomDoan
Sat Jun 26, 2010 12:09 pm
M-GARCH ESTIMATION ERROR

Last post by sam2010 « Sat Jun 19, 2010 7:57 pm
Replies: 9
by sam2010 » Sun May 16, 2010 6:06 pm

9 Replies

11696 Views

Last post by sam2010
Sat Jun 19, 2010 7:57 pm
convergence problem using rolling window with Maximise

Last post by TomDoan « Fri Jun 11, 2010 10:25 am
Replies: 4
by wendyyuan » Thu Jun 10, 2010 11:54 am

4 Replies

7552 Views

Last post by TomDoan
Fri Jun 11, 2010 10:25 am
is the result validity?

Last post by sam2010 « Mon May 31, 2010 3:30 pm
Replies: 2
by luxu1983 » Tue Oct 13, 2009 4:47 am

2 Replies

6773 Views

Last post by sam2010
Mon May 31, 2010 3:30 pm
Return Spillover effect in MGARCH-BEKK

Last post by prashantj « Wed May 05, 2010 2:22 am
Replies: 6
by prashantj » Mon Apr 12, 2010 8:12 pm

6 Replies

12229 Views

Last post by prashantj
Wed May 05, 2010 2:22 am
MGARCH estimation

Last post by TomDoan « Fri Apr 30, 2010 2:47 pm
Replies: 7
by John_Val » Sun Apr 18, 2010 8:42 am

7 Replies

11237 Views

Last post by TomDoan
Fri Apr 30, 2010 2:47 pm
4 variate BEKK MGARCH

Last post by TomDoan « Fri Apr 23, 2010 6:56 pm
Replies: 3
by anarello » Fri Apr 23, 2010 4:17 pm

3 Replies

8271 Views

Last post by TomDoan
Fri Apr 23, 2010 6:56 pm
Bivariate VAR-EGARCH with dummy variable

Last post by TomDoan « Wed Apr 14, 2010 9:51 am
Replies: 1
by gorgorm » Wed Apr 14, 2010 7:18 am

1 Replies

6283 Views

Last post by TomDoan
Wed Apr 14, 2010 9:51 am
Trivariate VAR-GARCH model

Last post by TomDoan « Tue Apr 13, 2010 6:06 pm
Replies: 15
by jessie » Fri Aug 14, 2009 10:54 am
1

2
15 Replies

30311 Views

Last post by TomDoan
Tue Apr 13, 2010 6:06 pm
degrees of freedom for bivariate t distribution

Last post by TomDoan « Thu Feb 18, 2010 10:50 am
Replies: 3
by wendyyuan » Thu Feb 18, 2010 9:29 am

3 Replies

7019 Views

Last post by TomDoan
Thu Feb 18, 2010 10:50 am

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