Garch models for stock returns

[GaryM26]

Sorry in Advance!!! I am very new to RATS, never used before in fact. I am currently doing my thesis on the relationship
between volatility and the introduction of a short selling ban on financial stocks in Ireland.

I am using Garch models( trying to use) in RATS. My problem is that in my Econometrics class we barely touched on Garch models.
so my experience is zero and its the same for rats.

Is there anyone out there who can help me out or give me some advice. Not sure where i should start.

It would be greatly appreciated.

[moderator]

If you are new to RATS, the first place to start is with the Introduction to RATS book. Work through at least the first few examples presented there. Spending 30 to 60 minutes doing that should give you a the fundamental skills you'll need, including the ability to read in data, generate graphs, do data transformations, and perform some basic statistical analyses (including linear regressions)--all tools you will want to apply to your data prior to diving into any sort of ARCH/GARCH model-building.

Once you've done that, turn to Chapter 9 in the User's Guide for a discussion of ARCH and GARCH models. For the most part, you should be able to use the GARCH instruction (and/or the GARCH Wizard on the TIme Series menu) to estimate your models. RATS ships with numerous example programs that should prove helpful, and more are available here on our website. Using the "search" tab on the main web page should prove helpful.

If you are new to the entire topic of ARCH/GARCH models, you'll want to consult a good textbook or two as well.

Regards,
Tom Maycock

[GaryM26]

Thanks Tom, I appreciate your advice.