VAR Asymmetric-BEKK GARCH

[HamaNadia]

Dear members
I am runing an asymmetric VAR-BEKK GARCH using the following code:
system(model=var1)
variables France UK Italy
lags 1
det constant
end(system)
*
garch(p=1,q=1,model=var1,mv=bekk,asymmetric,pmethod=simplex,piters=10)

Afterwards, when I am trying to verify the existence of conditional heteroskedasticity the code does not work. The code that i am used to verify the existence of conditional heteroskedasticity is defined bellow:
*
@mvqstat(lags=5)
# zu
@mvarchtest(lags=5)
# zu
*
* Fluctuations test
*
@flux
# dd

Unfortunately, the code does not work and I get this error message
*
@mvqstat(lags=5)
# zu
## SX11. Identifier ZU is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>># zu<<<<

Please, any help

[TomDoan]

The example from which you're taking the diagnostics had:

garch(model=var1,mv=bekk,asymmetric,p=1,q=1,distrib=t,$
pmethod=simplex,piters=10,iters=500,$
rseries=rs,mvhseries=hhs,stdresids=zu,derives=dd)

You don't need all those options, but you do need to add the STDRESIDS=ZU and DERIVES=DD to do the diagnostics.

[HamaNadia]

Many thanks for your reply.
I tried the code that you post in your reply:
garch(model=var1,mv=bekk,asymmetric,p=1,q=1,distrib=t,$
pmethod=simplex,piters=10,iters=500,$
rseries=rs,mvhseries=hhs,stdresids=zu,derives=dd)

However i get this error message:

## I1. Expected Instruction - RSE Is Not Recognizable As One
>>>>rseries=<<<<

[TomDoan]

1. You must have executed that 3rd line without the others.
2. As I said, you don't need all those options. Take your original instruction and add STDRESIDS=ZU,DERIVES=DD to the options.

[HamaNadia]

Many thanks for your speedy reply
I am Taking my original instruction and i add STDRESIDS=ZU,DERIVES=DD to the options. However, the code don't work

garch(p=1,q=1,model=var1,mv=bekk,asymmetric,pmethod=simplex,piters=10,rseries=rs,mvhseries=hhs,stdresids=zu,derives=dd)
## OP3. This Instruction Does Not Have An Option RSE
>>>>,piters=10,rseries=<<<<


garch(p=1,q=1,model=var1,mv=bekk,asymmetric,pmethod=simplex,piters=10,rseries=rs,stdresids=zu,derives=dd)
## OP3. This Instruction Does Not Have An Option RSE
>>>>,piters=10,rseries=<<<<

PLease, can you help me !!

[TomDoan]

You must be using a version 7 or maybe even 6. You don't need the RSERIES option, and you don't have it anyway. Just do what I suggested with your original instruction. However, note that version 7 is not going to have all features that you might actually need.

[HamaNadia]

I did what you suggested with my original instruction and i added STDRESIDS=ZU and DERIVES=DD. However, i still receive an error message:
garch(p=1,q=1,model=var1,mv=bekk,asymmetric,pmethod=simplex,piters=10,stdresids=zu,derives=dd)
## OP3. This Instruction Does Not Have An Option STD
>>>>iters=10,stdresids=<<<<

[TomDoan]

You should talk to your university about getting a modern version of the software. Version 7 is missing many features; particularly with regards to multivariate GARCH models.

[HamaNadia]

Many thanks for your collaboration. Just I want to tell you that I am using the version 8 of Rats not the version 6 or 7.