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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- unconditional variance of mgarch-bekk model
by luxu1983 » Thu Dec 31, 2009 3:51 am - 7 Replies
- 1623 Views
- Last post by TomDoan
Mon Jan 11, 2010 10:30 am
- unconditional variance of mgarch-bekk model
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- M-GARCH with volatility reversion
by jingran » Mon Jan 11, 2010 2:31 am - 1 Replies
- 740 Views
- Last post by TomDoan
Mon Jan 11, 2010 10:22 am
- M-GARCH with volatility reversion
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- Heteroskedasticity-Robust F Statistic
by luxu1983 » Wed Jan 06, 2010 3:55 am - 1 Replies
- 688 Views
- Last post by TomDoan
Wed Jan 06, 2010 6:44 pm
- Heteroskedasticity-Robust F Statistic
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- EGARCH Parameters and Tests
by hcivic91 » Fri Dec 11, 2009 1:21 pm - 1 Replies
- 713 Views
- Last post by TomDoan
Fri Dec 11, 2009 6:36 pm
- EGARCH Parameters and Tests
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- skipped/missing data
by wendyyuan » Mon Dec 07, 2009 1:19 pm - 2 Replies
- 757 Views
- Last post by wendyyuan
Tue Dec 08, 2009 8:42 am
- skipped/missing data
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- Error Correction and MVGARCH-X
by spollard777 » Sun Nov 22, 2009 12:39 pm - 1 Replies
- 693 Views
- Last post by TomDoan
Thu Dec 03, 2009 8:19 am
- Error Correction and MVGARCH-X
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- M-GARCH in mean model with Tse test
by msensier » Mon Oct 26, 2009 6:01 am
- 1 Replies
- 1723 Views
- Last post by TomDoan
Thu Nov 05, 2009 5:14 pm
- M-GARCH in mean model with Tse test
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- DCC model of Tse and Tsui (2002)
by sana » Wed Nov 04, 2009 6:08 am - 2 Replies
- 981 Views
- Last post by TomDoan
Wed Nov 04, 2009 9:51 am
- DCC model of Tse and Tsui (2002)
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- MV GARCH w MAXIMIZE, t-distribution?
by Lassemaja » Thu Oct 22, 2009 12:37 pm - 4 Replies
- 1070 Views
- Last post by Lassemaja
Fri Oct 23, 2009 1:07 pm
- MV GARCH w MAXIMIZE, t-distribution?
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- fomat change
by luxu1983 » Tue Oct 13, 2009 10:23 am - 1 Replies
- 477 Views
- Last post by TomDoan
Tue Oct 13, 2009 11:50 am
- fomat change
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- VAR(1)- GARCH(1,1) in mean with assymetry
by amcqeen » Sun Jun 14, 2009 3:23 pm - 2 Replies
- 1533 Views
- Last post by amcqeen
Fri Oct 09, 2009 1:12 am
- VAR(1)- GARCH(1,1) in mean with assymetry
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- DCC GARCH with exogenous variables
by jessyueh » Wed Sep 09, 2009 9:13 am - 1 Replies
- 1996 Views
- Last post by TomDoan
Thu Sep 10, 2009 3:01 pm
- DCC GARCH with exogenous variables
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- NO CONVERGENCE
by luxu1983 » Wed Sep 02, 2009 10:37 am - 1 Replies
- 781 Views
- Last post by condor
Thu Sep 03, 2009 8:05 am
- NO CONVERGENCE
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- problem with egarch 22 agian
by karl5914 » Sun Aug 30, 2009 5:19 pm - 1 Replies
- 671 Views
- Last post by TomDoan
Sun Aug 30, 2009 8:29 pm
- problem with egarch 22 agian
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- initial value in maximum likelihood estimation
by luxu1983 » Tue Aug 25, 2009 9:33 am - 1 Replies
- 744 Views
- Last post by TomDoan
Tue Aug 25, 2009 3:45 pm
- initial value in maximum likelihood estimation
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- 2 variables mgarch coding problem
by luxu1983 » Sun Aug 23, 2009 4:02 am - 3 Replies
- 749 Views
- Last post by TomDoan
Mon Aug 24, 2009 7:32 am
- 2 variables mgarch coding problem
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- problem with egarch 2,2
by karl5914 » Fri Aug 21, 2009 11:50 am - 4 Replies
- 863 Views
- Last post by karl5914
Fri Aug 21, 2009 3:59 pm
- problem with egarch 2,2
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- ¿Stability tests (or constancy tests) on GARCH?
by rosa1rio » Mon Jun 08, 2009 9:50 am - 2 Replies
- 845 Views
- Last post by rosa1rio
Tue Aug 11, 2009 12:02 pm
- ¿Stability tests (or constancy tests) on GARCH?
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- GARCH (1,1) Results
by rtlee100 » Tue Aug 04, 2009 3:07 am - 1 Replies
- 816 Views
- Last post by TomDoan
Thu Aug 06, 2009 9:44 am
- GARCH (1,1) Results
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- trivariate DCC with VAR(1) MEAN EQUATIONS
1, 2by amcqeen » Tue May 26, 2009 12:53 am - 21 Replies
- 4448 Views
- Last post by TomDoan
Thu Aug 06, 2009 9:37 am
- trivariate DCC with VAR(1) MEAN EQUATIONS
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- Multivariate E-GARCH models
by Markus86 » Mon Jul 06, 2009 11:06 am - 4 Replies
- 1845 Views
- Last post by Markus86
Tue Jul 07, 2009 8:02 am
- Multivariate E-GARCH models
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- About the residuals of the variance quations
by xyzh » Wed Jun 24, 2009 8:16 am - 2 Replies
- 938 Views
- Last post by xyzh
Wed Jun 24, 2009 10:02 am
- About the residuals of the variance quations
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- forecasting ARMA with GARCH errors
by vittorio23 » Thu Jun 18, 2009 4:23 am - 2 Replies
- 1232 Views
- Last post by vittorio23
Fri Jun 19, 2009 7:50 am
- forecasting ARMA with GARCH errors
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