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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- Coviance of asymmetric Bivariate-GARCH models
by wendyyuan » Thu Jun 18, 2009 9:40 am - 1 Replies
- 773 Views
- Last post by TomDoan
Thu Jun 18, 2009 12:59 pm
- Coviance of asymmetric Bivariate-GARCH models
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- Modelling GARCH (1,1)
by Aktar » Fri Apr 17, 2009 5:20 am - 1 Replies
- 704 Views
- Last post by TomDoan
Mon Apr 20, 2009 3:30 pm
- Modelling GARCH (1,1)
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- question about NO CONVERGENCE
by jingran » Thu Mar 26, 2009 9:07 pm - 1 Replies
- 1225 Views
- Last post by TomDoan
Fri Mar 27, 2009 10:10 am
- question about NO CONVERGENCE
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- REGIME DUMMIES IN MGARCH variance-covariance matrix
by amcqeen » Fri Mar 20, 2009 4:02 am - 3 Replies
- 1190 Views
- Last post by TomDoan
Wed Mar 25, 2009 4:02 pm
- REGIME DUMMIES IN MGARCH variance-covariance matrix
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- Multivariate GARCH (MV=EWMA)
by mike80 » Mon Mar 23, 2009 8:39 am - 1 Replies
- 1129 Views
- Last post by TomDoan
Tue Mar 24, 2009 10:48 am
- Multivariate GARCH (MV=EWMA)
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- Q0
by garchrookie » Wed Mar 11, 2009 11:34 am - 2 Replies
- 705 Views
- Last post by garchrookie
Wed Mar 11, 2009 8:43 pm
- Q0
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- xregressors, DCC, CC
by garchrookie » Tue Mar 10, 2009 10:35 am - 1 Replies
- 732 Views
- Last post by TomDoan
Tue Mar 10, 2009 12:01 pm
- xregressors, DCC, CC
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- M-GARCH, Intercepts of Mean Equations = Sample means?
by garchrookie » Sun Mar 08, 2009 8:16 am - 1 Replies
- 796 Views
- Last post by TomDoan
Mon Mar 09, 2009 9:17 am
- M-GARCH, Intercepts of Mean Equations = Sample means?
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- MGARCH restrictions
by amcqeen » Mon Feb 23, 2009 4:09 pm - 1 Replies
- 755 Views
- Last post by TomDoan
Wed Feb 25, 2009 12:27 pm
- MGARCH restrictions
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- In RATS, Any specification tests for GARCH and MGARCH?
by garchrookie » Thu Jan 29, 2009 2:50 am - 1 Replies
- 735 Views
- Last post by TomDoan
Thu Jan 29, 2009 12:13 pm
- In RATS, Any specification tests for GARCH and MGARCH?
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- MGARCH: Do I impose restrictions manually?
by garchrookie » Thu Jan 29, 2009 3:05 am - 1 Replies
- 692 Views
- Last post by TomDoan
Thu Jan 29, 2009 12:10 pm
- MGARCH: Do I impose restrictions manually?
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- Multi-collinearity in the the GARCH-X models?
by garchrookie » Thu Jan 29, 2009 4:03 am - 1 Replies
- 767 Views
- Last post by TomDoan
Thu Jan 29, 2009 12:03 pm
- Multi-collinearity in the the GARCH-X models?
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- VAR-GARCH(1,1) BEKK
by amcqeen » Tue Jan 27, 2009 12:51 am - 1 Replies
- 1065 Views
- Last post by TomDoan
Tue Jan 27, 2009 10:03 am
- VAR-GARCH(1,1) BEKK
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- Initial parameter values
by Anja » Mon Nov 24, 2008 11:50 am - 1 Replies
- 855 Views
- Last post by TomDoan
Fri Jan 02, 2009 4:17 pm
- Initial parameter values
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- VARMA-GARCH
by ccw » Sat Jun 16, 2007 9:24 pm - 2 Replies
- 3176 Views
- Last post by ccw9796
Thu Nov 20, 2008 10:02 pm
- VARMA-GARCH
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- Where are the correlation coefficients in the DCC model?
by nikosant » Sun Nov 02, 2008 8:19 am - 3 Replies
- 1451 Views
- Last post by TomDoan
Tue Nov 11, 2008 10:53 am
- Where are the correlation coefficients in the DCC model?
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- Forecasting using an EGARCH-M
by Socrates_plato » Tue Oct 21, 2008 8:27 pm - 1 Replies
- 1079 Views
- Last post by TomDoan
Wed Oct 22, 2008 9:42 am
- Forecasting using an EGARCH-M
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- Exogenous variables in DCC model
by dec3fc » Tue Aug 19, 2008 12:04 pm - 0 Replies
- 1081 Views
- Last post by dec3fc
Tue Aug 19, 2008 12:04 pm
- Exogenous variables in DCC model
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- A Sad Tale of Homemade Forecasts
by Gregory » Wed Aug 13, 2008 3:37 pm - 0 Replies
- 932 Views
- Last post by Gregory
Wed Aug 13, 2008 3:37 pm
- A Sad Tale of Homemade Forecasts
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- Multivariate Garch-X
by Anja » Tue Aug 12, 2008 11:06 am - 0 Replies
- 913 Views
- Last post by Anja
Tue Aug 12, 2008 11:06 am
- Multivariate Garch-X
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- Including Asymmetries Under the GARCH Instruction
by Gregory » Mon Aug 04, 2008 3:43 pm - 1 Replies
- 1257 Views
- Last post by Gregory
Tue Aug 05, 2008 2:49 pm
- Including Asymmetries Under the GARCH Instruction
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- Error: ## MAT15. Subscripts Too Large or Non-Positive
by bkoksal » Fri May 30, 2008 3:39 am - 1 Replies
- 1788 Views
- Last post by TomDoan
Fri May 30, 2008 9:39 am
- Error: ## MAT15. Subscripts Too Large or Non-Positive
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- Markov Switching GJR-GARCH-M?
by mjchang68 » Thu May 22, 2008 2:48 am - 1 Replies
- 2264 Views
- Last post by TomDoan
Thu May 22, 2008 4:28 pm
- Markov Switching GJR-GARCH-M?
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- missing values
by bkoksal » Thu May 15, 2008 8:50 am - 3 Replies
- 2033 Views
- Last post by TomDoan
Fri May 16, 2008 3:55 pm
- missing values
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- Multivariate GARCH
by grydaki » Tue Apr 01, 2008 4:07 am - 1 Replies
- 2451 Views
- Last post by moderator
Tue Apr 01, 2008 11:23 am
- Multivariate GARCH
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