VAR-GARCH

[hdhosky]

Hi everyone,

I am a beginner user of winRATS and am wondering if anyone could provide me with the codes for implementing VAR(1)-GARCH(1,1)?

I have 4 returns variables and 4 state variables to be used for my VAR.

Thank you very much!

[TomDoan]

A VAR-GARCH is primarily a GARCH model rather than a VAR. There are quite a few examples in the ARCH/GARCH models forum. The standard RATS GARCHMV.RPF example also includes one. Look for

Code: Select all

*
* VAR(1) model for the mean, BEKK for the variance
*
system(model=var1)
variables xjpn xfra xsui
lags 1
det constant
end(system)
garch(p=1,q=1,model=var1,mv=bekk,pmethod=simplex,piters=10)

[hdhosky]

Thank you very much!