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

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by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

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Number of variables should be included in GARCH-BEKK

Last post by hasanov « Fri Jun 05, 2020 7:06 am
Replies: 2
by lendraniestiko01 » Fri May 22, 2020 10:16 pm

2 Replies

6292 Views

Last post by hasanov
Fri Jun 05, 2020 7:06 am
Looping for VAR-BEKK GARCH Model

Last post by lendraniestiko01 « Fri May 22, 2020 7:10 pm
Replies: 6
by lendraniestiko01 » Mon May 18, 2020 9:32 am

6 Replies

9599 Views

Last post by lendraniestiko01
Fri May 22, 2020 7:10 pm
BEKK Interpretations for Variance/Covariance Equations

Last post by TomDoan « Tue May 19, 2020 12:44 pm
Replies: 3
by cmcknigh » Wed May 06, 2020 10:30 am

3 Replies

7419 Views

Last post by TomDoan
Tue May 19, 2020 12:44 pm
How to deal with zeros in data?

Last post by TomDoan « Tue Mar 31, 2020 8:30 am
Replies: 20
by Aixia_Mei » Mon Jan 05, 2015 2:42 pm
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20 Replies

33452 Views

Last post by TomDoan
Tue Mar 31, 2020 8:30 am
VCV matrix from ADCC GARCH

Last post by vb83 « Mon Jan 20, 2020 2:59 am
Replies: 1
by vb83 » Thu Jan 16, 2020 8:24 pm

1 Replies

7013 Views

Last post by vb83
Mon Jan 20, 2020 2:59 am
Regarding VAR-GARCH-M

Last post by TomDoan « Mon Jan 06, 2020 9:43 am
Replies: 1
by Owen Wang » Mon Jan 06, 2020 8:32 am

1 Replies

5763 Views

Last post by TomDoan
Mon Jan 06, 2020 9:43 am
ARMA-GARCH-IGARCH-FIGARCH

Last post by sue « Tue Dec 17, 2019 12:12 pm
Replies: 8
by sue » Thu Nov 07, 2019 2:57 pm

8 Replies

12754 Views

Last post by sue
Tue Dec 17, 2019 12:12 pm
Convergence in Asymmetric VECM-MGARCH-BEKK Model

Last post by TomDoan « Thu Dec 12, 2019 12:17 pm
Replies: 1
by Kiplimo » Wed Dec 11, 2019 2:15 pm

1 Replies

6224 Views

Last post by TomDoan
Thu Dec 12, 2019 12:17 pm
please i need your help

Last post by TomDoan « Sun Nov 17, 2019 7:42 am
Replies: 1
by fi-30 » Sun Nov 17, 2019 5:50 am

1 Replies

5621 Views

Last post by TomDoan
Sun Nov 17, 2019 7:42 am
DCC GARCH Correlations Test

Last post by TomDoan « Tue Oct 01, 2019 12:58 pm
Replies: 3
by cmcknigh » Tue Oct 01, 2019 10:57 am

3 Replies

7826 Views

Last post by TomDoan
Tue Oct 01, 2019 12:58 pm
Question during multivariate Garch Models

Last post by TomDoan « Sun Sep 08, 2019 10:29 pm
Replies: 3
by yangdashan » Fri Aug 30, 2019 2:31 pm

3 Replies

8194 Views

Last post by TomDoan
Sun Sep 08, 2019 10:29 pm
The parameter of DCC model

Last post by TomDoan « Fri Aug 23, 2019 3:54 pm
Replies: 4
by pascal » Sat Jul 13, 2019 10:43 am

4 Replies

9600 Views

Last post by TomDoan
Fri Aug 23, 2019 3:54 pm
Regarding multivariate VAR-GARCH model

Last post by TomDoan « Mon Aug 19, 2019 11:27 am
Replies: 1
by Owen Wang » Mon Aug 19, 2019 10:41 am

1 Replies

5806 Views

Last post by TomDoan
Mon Aug 19, 2019 11:27 am
PANEL GARCH COVARIANCE SERIES

Last post by TomDoan « Tue Jul 23, 2019 10:31 am
Replies: 1
by Tolga Omay » Tue Jul 23, 2019 6:38 am

1 Replies

6038 Views

Last post by TomDoan
Tue Jul 23, 2019 10:31 am
Panel GARCH

Last post by anthony « Tue Jul 09, 2019 4:31 am

by anthony » Tue Jul 09, 2019 4:31 am

0 Replies

5336 Views

Last post by anthony
Tue Jul 09, 2019 4:31 am
Reducing Parameters in BEKK GARCH

Last post by cmcknigh « Mon Jul 08, 2019 12:02 pm
Replies: 7
by cmcknigh » Thu Jun 13, 2019 4:27 pm

7 Replies

22226 Views

Last post by cmcknigh
Mon Jul 08, 2019 12:02 pm
Variance-convariance matrix in a VAR-BEKK-GARCH model

Last post by TomDoan « Fri Jun 28, 2019 8:41 am
Replies: 1
by betaedu27 » Fri Jun 28, 2019 7:27 am

1 Replies

5543 Views

Last post by TomDoan
Fri Jun 28, 2019 8:41 am
Compare unrestricted and restricted VARX-DCC model

Last post by TomDoan « Tue Jun 25, 2019 4:23 pm
Replies: 3
by mengqi » Tue Oct 24, 2017 12:28 pm

3 Replies

8798 Views

Last post by TomDoan
Tue Jun 25, 2019 4:23 pm
forecasting ARMA with GARCH errors

Last post by TomDoan « Thu Jun 20, 2019 10:21 pm
Replies: 11
by vittorio23 » Thu Jun 18, 2009 4:23 am

11 Replies

19497 Views

Last post by TomDoan
Thu Jun 20, 2019 10:21 pm
Non-Convergence in DCC model

Last post by curiousresearcher « Mon Jun 10, 2019 11:05 am
Replies: 10
by sanjeev » Thu Apr 30, 2015 3:22 am

10 Replies

17531 Views

Last post by curiousresearcher
Mon Jun 10, 2019 11:05 am
VARMA GARCH Model

Last post by TomDoan « Thu Jun 06, 2019 5:57 pm
Replies: 43
by TomDoan » Mon Mar 05, 2012 2:44 pm
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3
43 Replies

75756 Views

Last post by TomDoan
Thu Jun 06, 2019 5:57 pm
confirmation needed for codes for 3 different models

Last post by TomDoan « Thu May 23, 2019 7:27 am
Replies: 1
by curiousresearcher » Wed May 22, 2019 2:01 pm

1 Replies

5923 Views

Last post by TomDoan
Thu May 23, 2019 7:27 am
IRF From Estimated VECM with DCC-MGARCH

Last post by TomDoan « Wed Apr 24, 2019 4:22 pm
Replies: 5
by cmcknigh » Tue Apr 23, 2019 12:46 pm

5 Replies

9669 Views

Last post by TomDoan
Wed Apr 24, 2019 4:22 pm
var-diagonal bekk model

Last post by TomDoan « Sun Apr 21, 2019 2:03 pm
Replies: 15
by sanjeev » Sun Feb 21, 2016 11:30 pm
1

2
15 Replies

29772 Views

Last post by TomDoan
Sun Apr 21, 2019 2:03 pm
Panel GARCH with dummy variable

Last post by TomDoan « Wed Dec 26, 2018 1:37 pm
Replies: 5
by Ameer » Tue Dec 25, 2018 10:03 am

5 Replies

10498 Views

Last post by TomDoan
Wed Dec 26, 2018 1:37 pm

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