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
- 2357 Views
- Last post by moderator
Wed Mar 27, 2013 12:39 pm
- RATS 8.2: Free Trial Version
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- Hansen IER 1994 Replication
by TomDoan » Mon Nov 29, 2010 6:40 pm
- 0 Replies
- 465 Views
- Last post by TomDoan
Mon Nov 29, 2010 6:40 pm
- Hansen IER 1994 Replication
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- FIEGARCH model
by TomDoan » Mon Jul 19, 2010 9:47 am
- 3 Replies
- 1798 Views
- Last post by wardb
Thu Aug 30, 2012 4:04 pm
- FIEGARCH model
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- DCC with skewed multivariate t distribution
by Frank » Tue Oct 26, 2010 7:27 pm
- 1 Replies
- 728 Views
- Last post by TomDoan
Thu Oct 28, 2010 11:30 am
- DCC with skewed multivariate t distribution
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- Using Maximize with GARCH model
by ivory4 » Sat Sep 25, 2010 2:08 am - 2 Replies
- 822 Views
- Last post by ivory4
Mon Sep 27, 2010 5:02 pm
- Using Maximize with GARCH model
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- GARCH models with surprises in the volatility equation
by IRJ » Wed Sep 22, 2010 4:49 am - 3 Replies
- 762 Views
- Last post by TomDoan
Mon Sep 27, 2010 3:52 pm
- GARCH models with surprises in the volatility equation
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- How to interpret the BEKK coefficients?
by garchrookie » Sat Aug 21, 2010 5:11 am - 0 Replies
- 624 Views
- Last post by garchrookie
Sat Aug 21, 2010 5:11 am
- How to interpret the BEKK coefficients?
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- Modify the variance equation in MGARCH
by garchrookie » Sat Aug 21, 2010 4:47 am - 0 Replies
- 505 Views
- Last post by garchrookie
Sat Aug 21, 2010 4:47 am
- Modify the variance equation in MGARCH
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- VAR E-GARCH with dummies
1, 2by Eric » Mon Jul 26, 2010 4:46 pm - 19 Replies
- 2682 Views
- Last post by TomDoan
Tue Aug 10, 2010 12:23 pm
- VAR E-GARCH with dummies
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- GARCH variants (univariate)
by TomDoan » Wed Aug 04, 2010 7:57 pm
- 0 Replies
- 537 Views
- Last post by TomDoan
Wed Aug 04, 2010 7:57 pm
- GARCH variants (univariate)
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- MV-GARCH-M with square roots
by TomDoan » Wed Jul 21, 2010 12:28 pm
- 0 Replies
- 768 Views
- Last post by TomDoan
Wed Jul 21, 2010 12:28 pm
- MV-GARCH-M with square roots
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- GARCH with rolling data
by wendyyuan » Mon May 24, 2010 9:59 am
- 2 Replies
- 818 Views
- Last post by TomDoan
Thu Jul 01, 2010 5:28 pm
- GARCH with rolling data
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- non-negative constraints
by sschenatntu » Sat Jun 26, 2010 11:14 am - 1 Replies
- 722 Views
- Last post by TomDoan
Sat Jun 26, 2010 12:09 pm
- non-negative constraints
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- M-GARCH ESTIMATION ERROR
by sam2010 » Sun May 16, 2010 6:06 pm
- 9 Replies
- 1498 Views
- Last post by sam2010
Sat Jun 19, 2010 7:57 pm
- M-GARCH ESTIMATION ERROR
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- convergence problem using rolling window with Maximise
by wendyyuan » Thu Jun 10, 2010 11:54 am - 4 Replies
- 788 Views
- Last post by TomDoan
Fri Jun 11, 2010 10:25 am
- convergence problem using rolling window with Maximise
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- is the result validity?
by luxu1983 » Tue Oct 13, 2009 4:47 am - 2 Replies
- 988 Views
- Last post by sam2010
Mon May 31, 2010 3:30 pm
- is the result validity?
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- Return Spillover effect in MGARCH-BEKK
by prashantj » Mon Apr 12, 2010 8:12 pm - 6 Replies
- 2262 Views
- Last post by prashantj
Wed May 05, 2010 2:22 am
- Return Spillover effect in MGARCH-BEKK
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- MGARCH estimation
by John_Val » Sun Apr 18, 2010 8:42 am - 7 Replies
- 1306 Views
- Last post by TomDoan
Fri Apr 30, 2010 2:47 pm
- MGARCH estimation
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- 4 variate BEKK MGARCH
by anarello » Fri Apr 23, 2010 4:17 pm - 3 Replies
- 1612 Views
- Last post by TomDoan
Fri Apr 23, 2010 6:56 pm
- 4 variate BEKK MGARCH
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- Bivariate VAR-EGARCH with dummy variable
by gorgorm » Wed Apr 14, 2010 7:18 am - 1 Replies
- 1199 Views
- Last post by TomDoan
Wed Apr 14, 2010 9:51 am
- Bivariate VAR-EGARCH with dummy variable
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- Trivariate VAR-GARCH model
1, 2by jessie » Fri Aug 14, 2009 10:54 am - 17 Replies
- 6241 Views
- Last post by TomDoan
Tue Apr 13, 2010 6:06 pm
- Trivariate VAR-GARCH model
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- irf for var with mgarch in mean
by luxu1983 » Fri Mar 12, 2010 9:27 am - 1 Replies
- 667 Views
- Last post by TomDoan
Fri Mar 12, 2010 10:56 am
- irf for var with mgarch in mean
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- degrees of freedom for bivariate t distribution
by wendyyuan » Thu Feb 18, 2010 10:29 am - 3 Replies
- 925 Views
- Last post by TomDoan
Thu Feb 18, 2010 11:50 am
- degrees of freedom for bivariate t distribution
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- robust option
by luxu1983 » Thu Feb 04, 2010 8:52 am - 1 Replies
- 573 Views
- Last post by TomDoan
Thu Feb 04, 2010 10:19 am
- robust option
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- Gray GARCH example question (split from MSVAR topic)
by GUESMI2010 » Sat Jan 09, 2010 4:25 pm
- 6 Replies
- 1867 Views
- Last post by TomDoan
Wed Jan 13, 2010 11:10 am
- Gray GARCH example question (split from MSVAR topic)
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