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

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Out-of-sample mean forecasts from VARMA-MGARCH-M

Last post by TomDoan « Thu Dec 13, 2018 11:13 am
Replies: 3
by hasanov » Tue Dec 11, 2018 7:30 pm

3 Replies

8588 Views

Last post by TomDoan
Thu Dec 13, 2018 11:13 am
Diagnostic test and mean model for BEKK-GARCH

Last post by TomDoan « Sun Dec 09, 2018 9:12 am
Replies: 29
by qkvm84 » Sat Aug 04, 2018 5:45 pm
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2
29 Replies

47417 Views

Last post by TomDoan
Sun Dec 09, 2018 9:12 am
Negative Arch effects

Last post by TomDoan « Sun Oct 28, 2018 10:29 am
Replies: 1
by fatemaalaali » Sat Oct 27, 2018 2:42 am

1 Replies

7046 Views

Last post by TomDoan
Sun Oct 28, 2018 10:29 am
Dealing with Outliers in GARCH-BEKK

Last post by TomDoan « Wed Oct 24, 2018 11:25 pm
Replies: 3
by Zankawa » Fri Jul 29, 2016 4:51 pm

3 Replies

10574 Views

Last post by TomDoan
Wed Oct 24, 2018 11:25 pm
Code for tests

Last post by TomDoan « Fri Sep 28, 2018 7:48 am
Replies: 7
by humyra » Sun Mar 04, 2018 7:45 am

7 Replies

16782 Views

Last post by TomDoan
Fri Sep 28, 2018 7:48 am
Multivariate Ljung-Box tests

Last post by sanjeev « Thu Sep 27, 2018 1:44 am
Replies: 15
by yli725 » Tue Mar 19, 2013 12:36 pm
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2
15 Replies

36735 Views

Last post by sanjeev
Thu Sep 27, 2018 1:44 am
DCC Impulse_Response Function

Last post by TomDoan « Mon Aug 13, 2018 11:47 am
Replies: 5
by bekkdcc » Sun Oct 15, 2017 5:16 am

5 Replies

27099 Views

Last post by TomDoan
Mon Aug 13, 2018 11:47 am
GARCH model with threshold effect in mean equation

Last post by TomDoan « Fri Jul 06, 2018 11:45 am
Replies: 1
by ege_man » Fri Jul 06, 2018 6:59 am

1 Replies

6959 Views

Last post by TomDoan
Fri Jul 06, 2018 11:45 am
DCC Garch

Last post by TomDoan « Tue Jun 05, 2018 11:38 am
Replies: 7
by Gabizzy » Tue May 22, 2018 9:38 am

7 Replies

16038 Views

Last post by TomDoan
Tue Jun 05, 2018 11:38 am
Multivariate ANST-GARCH

Last post by TomDoan « Mon May 07, 2018 4:25 pm
Replies: 9
by huanpipt » Mon Aug 29, 2011 3:21 am

9 Replies

19410 Views

Last post by TomDoan
Mon May 07, 2018 4:25 pm
Shocks and Volatilties

Last post by TomDoan « Sun Apr 22, 2018 3:12 pm
Replies: 7
by Zankawa » Wed Apr 04, 2018 10:51 am

7 Replies

13732 Views

Last post by TomDoan
Sun Apr 22, 2018 3:12 pm
structural breaks in conditional variance equation

Last post by jackzhai1989 « Thu Apr 12, 2018 8:16 pm
Replies: 8
by irfanawan » Tue Apr 07, 2015 1:10 am

8 Replies

19021 Views

Last post by jackzhai1989
Thu Apr 12, 2018 8:16 pm
VAR of TBEKK Model

Last post by Zankawa « Wed Apr 04, 2018 11:27 am
Replies: 6
by Zankawa » Wed Apr 04, 2018 6:22 am

6 Replies

12749 Views

Last post by Zankawa
Wed Apr 04, 2018 11:27 am
bekk parameters

Last post by TomDoan « Mon Apr 02, 2018 1:28 pm
Replies: 9
by luxu1983 » Sat Oct 02, 2010 4:20 am

9 Replies

50526 Views

Last post by TomDoan
Mon Apr 02, 2018 1:28 pm
Financial Interpretation of insignificant a12, significant b

Last post by humyra « Mon Apr 02, 2018 9:22 am
Replies: 2
by humyra » Sun Apr 01, 2018 11:30 pm

2 Replies

7471 Views

Last post by humyra
Mon Apr 02, 2018 9:22 am
GARCH-based approach for measuring abnormal stock returns

Last post by TomDoan « Thu Mar 29, 2018 6:43 am
Replies: 1
by James82 » Thu Mar 29, 2018 5:52 am

1 Replies

7098 Views

Last post by TomDoan
Thu Mar 29, 2018 6:43 am
Mgarch coefficients

Last post by TomDoan « Wed Feb 28, 2018 10:27 am
Replies: 12
by kula » Tue Aug 29, 2017 2:27 pm

12 Replies

19746 Views

Last post by TomDoan
Wed Feb 28, 2018 10:27 am
Analyzing contagion between financial markets

Last post by humyra « Sat Feb 17, 2018 12:16 am
Replies: 2
by humyra » Fri Feb 16, 2018 6:17 am

2 Replies

9108 Views

Last post by humyra
Sat Feb 17, 2018 12:16 am
Multivariate GARCH-M, with restrictions across equations

Last post by TomDoan « Mon Feb 05, 2018 11:03 am
Replies: 8
by unfallenfelix » Tue Jan 16, 2018 1:24 pm

8 Replies

15913 Views

Last post by TomDoan
Mon Feb 05, 2018 11:03 am
Triangular BEKK Model

Last post by TomDoan « Tue Jan 30, 2018 8:37 am
Replies: 1
by Zankawa » Mon Jan 29, 2018 4:16 pm

1 Replies

7366 Views

Last post by TomDoan
Tue Jan 30, 2018 8:37 am
GJR GARCH with dummy variable in variance equation

Last post by TomDoan « Thu Jan 11, 2018 1:10 pm
Replies: 8
by emna » Thu Dec 28, 2017 9:30 am

8 Replies

17152 Views

Last post by TomDoan
Thu Jan 11, 2018 1:10 pm
Notes on BEKK and Triangular BEKK Models

Last post by TomDoan « Sun Dec 31, 2017 1:13 pm
Replies: 3
by Zankawa » Thu Dec 28, 2017 4:33 pm

3 Replies

10196 Views

Last post by TomDoan
Sun Dec 31, 2017 1:13 pm
Using the VECH Model

Last post by TomDoan « Tue Dec 19, 2017 5:03 pm
Replies: 7
by Zankawa » Mon Dec 18, 2017 1:30 pm

7 Replies

14341 Views

Last post by TomDoan
Tue Dec 19, 2017 5:03 pm
Negative Shocks of GARCH BEKK Model

Last post by TomDoan « Sat Dec 16, 2017 10:53 am
Replies: 3
by Zankawa » Fri Dec 15, 2017 10:30 am

3 Replies

9786 Views

Last post by TomDoan
Sat Dec 16, 2017 10:53 am
The Mean Model of Triangular BEKK

Last post by TomDoan « Mon Dec 11, 2017 7:36 am
Replies: 16
by Zankawa » Fri Dec 08, 2017 6:53 pm
1

2
16 Replies

32528 Views

Last post by TomDoan
Mon Dec 11, 2017 7:36 am

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