GARCHMV.RPF—Multivariate GARCH example
Posted: Wed Dec 02, 2015 10:11 pm
GARCHMV.RPF is an illustrative example which includes several variants on multivariate GARCH models, including "stock" estimates for DVECH, BEKK, CC and DCC models, plus GARCH with non-standard mean models (different explanatory variables in each) and GARCH with several types of M effects. Note that this uses some features that were added with RATS version 9. It's included in the RATS distribution, and is discussed in considerable detail in Section 9.4 of the v9 User's Guide.
Detailed description
Detailed description