ARCH and GARCH Models
Discussions of ARCH, GARCH, and related models
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- RATS 8.2: Free Trial Version
by moderator » Tue Sep 25, 2012 5:10 pm - 0 Replies
- 2329 Views
- Last post by moderator
Wed Mar 27, 2013 12:39 pm
- RATS 8.2: Free Trial Version
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- GARCH: RATS 7.3 and 8.0 giving different results?
by marinbozic » Thu Jun 02, 2011 11:24 am
- 0 Replies
- 422 Views
- Last post by marinbozic
Thu Jun 02, 2011 11:24 am
- GARCH: RATS 7.3 and 8.0 giving different results?
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- Risk-Neutral Garch process
by RonBacardi » Fri May 20, 2011 3:58 pm - 0 Replies
- 975 Views
- Last post by RonBacardi
Fri May 20, 2011 3:58 pm
- Risk-Neutral Garch process
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- Multivariate EGARCH-X with spillovers
by bekar » Mon May 09, 2011 11:49 am - 11 Replies
- 1873 Views
- Last post by bekar
Thu May 12, 2011 7:23 am
- Multivariate EGARCH-X with spillovers
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- GARCH(1,1) using Max instruction
by sulong » Mon May 02, 2011 11:30 pm - 1 Replies
- 561 Views
- Last post by TomDoan
Wed May 04, 2011 10:25 am
- GARCH(1,1) using Max instruction
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- GARCHUVMAX.RPF
by sulong » Tue May 03, 2011 2:23 am - 3 Replies
- 629 Views
- Last post by TomDoan
Wed May 04, 2011 10:17 am
- GARCHUVMAX.RPF
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- a error occur when estimating VECM-GARCH
by huanpipt » Mon May 02, 2011 10:33 am - 2 Replies
- 721 Views
- Last post by huanpipt
Tue May 03, 2011 12:36 pm
- a error occur when estimating VECM-GARCH
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- multiplicative dummy involving squared residuals and varian
by sulong » Sat Apr 30, 2011 10:55 am
- 1 Replies
- 421 Views
- Last post by TomDoan
Sat Apr 30, 2011 12:19 pm
- multiplicative dummy involving squared residuals and varian
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- how to select mean equation in MVgarch model?
by hardmann » Sun Apr 24, 2011 5:17 am - 3 Replies
- 515 Views
- Last post by hardmann
Wed Apr 27, 2011 7:59 am
- how to select mean equation in MVgarch model?
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- regime-switch VAR-GARCH-M
by huanpipt » Tue Mar 29, 2011 4:46 am
- 7 Replies
- 1682 Views
- Last post by huanpipt
Tue Apr 26, 2011 12:23 pm
- regime-switch VAR-GARCH-M
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- how to select var lag in MVGARCh
by hardmann » Sun Apr 24, 2011 1:47 am
- 1 Replies
- 584 Views
- Last post by moderator
Mon Apr 25, 2011 2:32 pm
- how to select var lag in MVGARCh
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- how to estimate likelihood ratio in restricted MVgarch
by hardmann » Wed Apr 20, 2011 9:40 am - 1 Replies
- 453 Views
- Last post by TomDoan
Wed Apr 20, 2011 11:44 am
- how to estimate likelihood ratio in restricted MVgarch
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- Simulating a MV-GARCH process
by TomDoan » Tue Apr 12, 2011 3:03 pm - 0 Replies
- 675 Views
- Last post by TomDoan
Tue Apr 12, 2011 3:03 pm
- Simulating a MV-GARCH process
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- Forecasting under non-gaussianity
by nazif » Tue Apr 12, 2011 1:06 pm - 1 Replies
- 354 Views
- Last post by TomDoan
Tue Apr 12, 2011 2:48 pm
- Forecasting under non-gaussianity
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- Variations on BEKK
by TomDoan » Wed Dec 02, 2009 3:53 pm - 5 Replies
- 1726 Views
- Last post by TomDoan
Mon Apr 04, 2011 11:42 am
- Variations on BEKK
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- GARCH with an ARMA mean equation
by Nai_re_PAOK » Thu Mar 31, 2011 10:41 am - 4 Replies
- 770 Views
- Last post by Nai_re_PAOK
Fri Apr 01, 2011 4:16 am
- GARCH with an ARMA mean equation
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- GARCH - constraint
1, 2 by saurabhatkekar » Thu Jan 20, 2011 7:48 am
- 15 Replies
- 1513 Views
- Last post by TomDoan
Fri Mar 25, 2011 12:49 pm
- GARCH - constraint
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- how to estimate LB-Q tests in BEkK model?
by hardmann » Sun Mar 13, 2011 11:07 am - 1 Replies
- 486 Views
- Last post by TomDoan
Sun Mar 13, 2011 12:04 pm
- how to estimate LB-Q tests in BEkK model?
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- ARMA-ANN-GARCH model
by John_Val » Fri Mar 11, 2011 6:24 pm - 3 Replies
- 732 Views
- Last post by TomDoan
Sat Mar 12, 2011 6:10 pm
- ARMA-ANN-GARCH model
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- DCC GARCH and unit roots
by hashem » Mon Mar 07, 2011 6:59 am - 3 Replies
- 677 Views
- Last post by TomDoan
Thu Mar 10, 2011 3:19 pm
- DCC GARCH and unit roots
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- DCC GARCH, different sets of regressors in variance equation
by rsdeacle » Tue Mar 08, 2011 3:37 pm
- 1 Replies
- 526 Views
- Last post by TomDoan
Wed Mar 09, 2011 3:19 pm
- DCC GARCH, different sets of regressors in variance equation
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- Tsay's DCC model
by hashem » Mon Jan 10, 2011 6:09 pm - 3 Replies
- 772 Views
- Last post by TomDoan
Tue Jan 25, 2011 9:26 am
- Tsay's DCC model
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- dynamic conditional correlation
by hashem » Mon Jan 24, 2011 9:51 am - 2 Replies
- 789 Views
- Last post by hashem
Mon Jan 24, 2011 10:51 am
- dynamic conditional correlation
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- VARMAX-GARCH-BEKK
by hashem » Sun Jan 16, 2011 1:57 pm
- 3 Replies
- 1050 Views
- Last post by TomDoan
Tue Jan 18, 2011 2:54 pm
- VARMAX-GARCH-BEKK
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- bekk parameters
by luxu1983 » Sat Oct 02, 2010 4:20 am - 4 Replies
- 1037 Views
- Last post by vinayadhikari
Thu Dec 23, 2010 9:29 pm
- bekk parameters
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- BIVARIATE BEKK GARCH
by myousefi1360 » Mon Nov 29, 2010 10:34 am
- 6 Replies
- 1752 Views
- Last post by myousefi1360
Wed Dec 08, 2010 6:02 am
- BIVARIATE BEKK GARCH
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