VARMA AGARCH of Hoti et al

[allister]

Dear Tom

I recently came across a paper using a VARMA AGARCH model Hoti et al (2002) which states that the VARMA GARCH model is a standard procedure in RATS. I have been trying to find where this standard procedure is but to no avail. The model is similar to Ling and Mc Aleer (VARMA GARCH) with the exception of model incorporates asymmetry al la the GJR univariate model.


Is it possible for you to point me to where this standard procedure is or at least describe to me where to how to do such model.

[TomDoan]

That's the combination of

MV=CC,VARIANCES=VARMA,ASYMMETRIC

[allister]

Thanks much Tom