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

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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robust option

Last post by TomDoan « Thu Feb 04, 2010 9:19 am
Replies: 1
by luxu1983 » Thu Feb 04, 2010 7:52 am

1 Replies

5219 Views

Last post by TomDoan
Thu Feb 04, 2010 9:19 am
Gray GARCH example question (split from MSVAR topic)

Last post by TomDoan « Wed Jan 13, 2010 10:10 am
Replies: 6
by GUESMI2010 » Sat Jan 09, 2010 3:25 pm

6 Replies

10172 Views

Last post by TomDoan
Wed Jan 13, 2010 10:10 am
unconditional variance of mgarch-bekk model

Last post by TomDoan « Mon Jan 11, 2010 9:30 am
Replies: 7
by luxu1983 » Thu Dec 31, 2009 2:51 am

7 Replies

11876 Views

Last post by TomDoan
Mon Jan 11, 2010 9:30 am
M-GARCH with volatility reversion

Last post by TomDoan « Mon Jan 11, 2010 9:22 am
Replies: 1
by jingran » Mon Jan 11, 2010 1:31 am

1 Replies

5690 Views

Last post by TomDoan
Mon Jan 11, 2010 9:22 am
Heteroskedasticity-Robust F Statistic

Last post by TomDoan « Wed Jan 06, 2010 5:44 pm
Replies: 1
by luxu1983 » Wed Jan 06, 2010 2:55 am

1 Replies

5486 Views

Last post by TomDoan
Wed Jan 06, 2010 5:44 pm
EGARCH Parameters and Tests

Last post by TomDoan « Fri Dec 11, 2009 5:36 pm
Replies: 1
by hcivic91 » Fri Dec 11, 2009 12:21 pm

1 Replies

5295 Views

Last post by TomDoan
Fri Dec 11, 2009 5:36 pm
skipped/missing data

Last post by wendyyuan « Tue Dec 08, 2009 7:42 am
Replies: 2
by wendyyuan » Mon Dec 07, 2009 12:19 pm

2 Replies

6111 Views

Last post by wendyyuan
Tue Dec 08, 2009 7:42 am
Error Correction and MVGARCH-X

Last post by TomDoan « Thu Dec 03, 2009 7:19 am
Replies: 1
by spollard777 » Sun Nov 22, 2009 11:39 am

1 Replies

5267 Views

Last post by TomDoan
Thu Dec 03, 2009 7:19 am
M-GARCH in mean model with Tse test

Last post by TomDoan « Thu Nov 05, 2009 4:14 pm
Replies: 1
by msensier » Mon Oct 26, 2009 6:01 am

1 Replies

7756 Views

Last post by TomDoan
Thu Nov 05, 2009 4:14 pm
DCC model of Tse and Tsui (2002)

Last post by TomDoan « Wed Nov 04, 2009 8:51 am
Replies: 2
by sana » Wed Nov 04, 2009 5:08 am

2 Replies

6465 Views

Last post by TomDoan
Wed Nov 04, 2009 8:51 am
MV GARCH w MAXIMIZE, t-distribution?

Last post by Lassemaja « Fri Oct 23, 2009 1:07 pm
Replies: 4
by Lassemaja » Thu Oct 22, 2009 12:37 pm

4 Replies

8411 Views

Last post by Lassemaja
Fri Oct 23, 2009 1:07 pm
fomat change

Last post by TomDoan « Tue Oct 13, 2009 11:50 am
Replies: 1
by luxu1983 » Tue Oct 13, 2009 10:23 am

1 Replies

5101 Views

Last post by TomDoan
Tue Oct 13, 2009 11:50 am
VAR(1)- GARCH(1,1) in mean with assymetry

Last post by amcqeen « Fri Oct 09, 2009 1:12 am
Replies: 2
by amcqeen » Sun Jun 14, 2009 3:23 pm

2 Replies

7109 Views

Last post by amcqeen
Fri Oct 09, 2009 1:12 am
NO CONVERGENCE

Last post by condor « Thu Sep 03, 2009 8:05 am
Replies: 1
by luxu1983 » Wed Sep 02, 2009 10:37 am

1 Replies

6748 Views

Last post by condor
Thu Sep 03, 2009 8:05 am
problem with egarch 22 agian

Last post by TomDoan « Sun Aug 30, 2009 8:29 pm
Replies: 1
by karl5914 » Sun Aug 30, 2009 5:19 pm

1 Replies

6593 Views

Last post by TomDoan
Sun Aug 30, 2009 8:29 pm
initial value in maximum likelihood estimation

Last post by TomDoan « Tue Aug 25, 2009 3:45 pm
Replies: 1
by luxu1983 » Tue Aug 25, 2009 9:33 am

1 Replies

6584 Views

Last post by TomDoan
Tue Aug 25, 2009 3:45 pm
2 variables mgarch coding problem

Last post by TomDoan « Mon Aug 24, 2009 7:32 am
Replies: 3
by luxu1983 » Sun Aug 23, 2009 4:02 am

3 Replies

8077 Views

Last post by TomDoan
Mon Aug 24, 2009 7:32 am
problem with egarch 2,2

Last post by karl5914 « Fri Aug 21, 2009 3:59 pm
Replies: 4
by karl5914 » Fri Aug 21, 2009 11:50 am

4 Replies

7463 Views

Last post by karl5914
Fri Aug 21, 2009 3:59 pm
dcc grach

Last post by luxu1983 « Sat Aug 15, 2009 3:16 pm
Replies: 2
by luxu1983 » Fri Aug 14, 2009 11:29 am

2 Replies

6045 Views

Last post by luxu1983
Sat Aug 15, 2009 3:16 pm
GARCH (1,1) Results

Last post by TomDoan « Thu Aug 06, 2009 9:44 am
Replies: 1
by rtlee100 » Tue Aug 04, 2009 3:07 am

1 Replies

5348 Views

Last post by TomDoan
Thu Aug 06, 2009 9:44 am
trivariate DCC with VAR(1) MEAN EQUATIONS

Last post by TomDoan « Thu Aug 06, 2009 9:37 am
Replies: 21
by amcqeen » Tue May 26, 2009 12:53 am
1

2
21 Replies

31560 Views

Last post by TomDoan
Thu Aug 06, 2009 9:37 am
SWARCH

Last post by rtlee100 « Tue Aug 04, 2009 2:51 am
Replies: 6
by rtlee100 » Thu Jul 30, 2009 3:32 am

6 Replies

10352 Views

Last post by rtlee100
Tue Aug 04, 2009 2:51 am
Multivariate E-GARCH models

Last post by Markus86 « Tue Jul 07, 2009 8:02 am
Replies: 4
by Markus86 » Mon Jul 06, 2009 11:06 am

4 Replies

9273 Views

Last post by Markus86
Tue Jul 07, 2009 8:02 am
About the residuals of the variance quations

Last post by xyzh « Wed Jun 24, 2009 10:02 am
Replies: 2
by xyzh » Wed Jun 24, 2009 8:16 am

2 Replies

6477 Views

Last post by xyzh
Wed Jun 24, 2009 10:02 am
¿Stability tests (or constancy tests) on GARCH?

Last post by TomDoan « Fri Jun 19, 2009 1:48 pm
Replies: 1
by rosa1rio » Mon Jun 08, 2009 9:50 am

1 Replies

6295 Views

Last post by TomDoan
Fri Jun 19, 2009 1:48 pm

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