The RATS Software Forum

Hi, Can I use rseries and stdresids options for WINRATS PRO 8.0? Or it is only available for the latest version? Is there any way to do it by version 8?
I am trying to standardise residuals for diagnostic tests for multivariate garch (BEKK) model. But the following codes does not work because options for rseries and stdresids could not be found.

Also could you let me know how to standardise the whole residual vector for running diagnostics test for DCC model?

Thanks a lots!

garch(model=var1,mv=bekk,p=1,q=1,$
pmethod=simplex,piters=10,iters=500,$
rseries=rs,mvhseries=hhs,stdresids=zu,derives=dd)
@mvqstat(lags=5)
# zu
@mvarchtest(lags=5)
# zu
*
* Fluctuations test
*
@flux
# dd

The GARCHMV.RPF example with version 8 does a calculation of the multivariate standardized residuals. It's just a separate calculation instead of being included as an option on GARCH:

*
* Multivariate Q statistic. This requires transforming the residuals to
* eliminate the time-varying correlations.
*
dec vect[series] zu(%nvar)
do time=%regstart(),%regend()
compute %pt(zu,time,%solve(%decomp(hh(time)),rd(time)))
end do time
@mvqstat(lags=40)
# zu

Hi Tom,

I have the following information pop up.

##SX11. Identifier HH is Not Recognoizable. Incorrect Option Field or Parameter Order?
>>>>,%solve(%decomp(hh(<<<<

You'll have to look at the version of GARCHMV.RPF that comes with version 8 (or just update to version 9).

Thanks.
I will update the software.

If i purchase e-course online. Do i get the pdf files forever? Or they will disappear after a period of time?

You buy the course PDF's---they're not rented.