| File Name | Description |
| ARCHFORE.PRG | Monte Carlo simulation of an ARCH model. A modified versions of the MONTEARC.PRG example program included with RATS. |
| By: Estima, 5/14/1996. | |
| Version: 4 or later. Reference: n/a | |
| BaillieBW1996.zip | Replication of Baillie, Bollerslev and Mikkelson, "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 1996, vol 74, pp 3-30. |
| By: Estima, 8/17/2005. | |
| Version: 6.1 or later. Reference: Baillie; Bollerslev; Mikkelson | |
| GARCH.SRC | A menu-driven procedure for estimating univariate ARCH, GARCH, and related models with varying lag lengths. By Norman Morin. Version 6, posted on November 17, 1999, adds support for MA terms in the mean equation, and the procedure code itself is now significantly shorter than before. Download GARCH.SRC (which includes non-negativity constraints) or GARCHN.SRC (identical, but omits non-negativity constraints). |
| By: Norman Morin, 10/4/2001. | |
| Version: 4 or later. Reference: Bera; Higgins; Engle; Hamilton; Nelson; Trevor | |
| GARCHFORE.SRC | GARCHFore computes out-of-sample variance forecasts for a standard univariate GARCH model, estimated using the GARCH instruction. |
| By: Estima, 3/22/2007. | |
| Version: 6.1 or later. Reference: |
|
| GARCHMV.PRG | Multivariate GARCH examples. This program was originally written by Rob Trevor and discussed in May, 1994 issue of the RATSletter. It has since been updated by Estima to demonstrate new aspects of the RATS code, and to include Engle's Dynamic Conditional Correlation (DCC) model. |
| By: Rob Trevor and Estima, 3/27/2003. | |
| Version: 5 or later. Reference: Trevor | |
| GARCHMVDCC2.PRG | Example program demonstrating a Multivariate GARCH model with the two-step DCC estimator. |
| By: Estima, 4/28/2005. | |
| Version: 6 or later. Reference: |
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| GARCHN.SRC | Same as GARCH.SRC, but without non-negativity constraints. |
| By: Norman Morin, 7/13/2001. | |
| Version: 4 or later. Reference: Bera; Higgins; Engle; Hamilton; Nelson; Trevor | |
| GARCHUV.PRG | Univariate GARCH examples. This program was originally written by Rob Trevor and discussed in May, 1994 issue of the RATSletter. |
| By: Rob Trevor, 11/22/1999. | |
| Version: 4 or later. Reference: Trevor | |
| MVGARCHFORE.SRC | Forecasts a multi-variate GARCH model, estimated using the GARCH instruction. Minor revisions/corrections in May 2006. |
| By: Estima, 6/19/2006. | |
| Version: 6.1 or later. Reference: |
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| SWARCH.PRG | Example program demonstrating the estimation of an Exogenous Markov Regime Switching ARCH model. Revised from an older version of the program, it now includes cleanear code for computing smoothed properties, and a demonstration of computing time-varying probabilities. |
| By: Estima, 11/22/2004. | |
| Version: 6 or later. Reference: |
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| TseJOE2000.zip | This Zip file contains an example program and data file for implementing Tse's LM test for constant correlation in a multivariate GARCH model. The program replicates the results from the article: Tse, Y.K. (2000), "A Test for Constant Correlations in a Multivariate GARCH Model", Journal of Econometrics, 98, pp. 107-127. |
| By: Estima, 3/8/2005. | |
| Version: 6 or later. Reference: Tse | |