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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- Box jenkins problem trying find to best fit model
1, 2by GaryM26 » Tue Sep 11, 2012 8:15 am - 18 Replies
- 1084 Views
- Last post by TomDoan
Fri Sep 14, 2012 12:25 pm
- Box jenkins problem trying find to best fit model
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- Testing for Arch affects
by GaryM26 » Thu Sep 06, 2012 4:03 pm - 3 Replies
- 506 Views
- Last post by TomDoan
Fri Sep 07, 2012 6:30 am
- Testing for Arch affects
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- VARMA GARCH Model
1, 2
by TomDoan » Mon Mar 05, 2012 3:44 pm
- 17 Replies
- 2088 Views
- Last post by Bella
Fri Aug 31, 2012 10:47 pm
- VARMA GARCH Model
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- DCC bootstrap
by fabio fornari » Thu Jun 23, 2011 3:42 am
- 6 Replies
- 1092 Views
- Last post by TomDoan
Tue Aug 28, 2012 10:04 pm
- DCC bootstrap
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- Jump GARCH Replication of Q stats
by spollard777 » Tue Mar 13, 2012 8:08 pm - 3 Replies
- 758 Views
- Last post by TomDoan
Fri Aug 10, 2012 10:33 am
- Jump GARCH Replication of Q stats
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- Jump GARCH model
1, 2 by TomDoan » Thu Aug 07, 2008 4:17 pm
- 15 Replies
- 5826 Views
- Last post by TomDoan
Fri Aug 10, 2012 10:24 am
- Jump GARCH model
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- Forecasting ARJI-Garch model
by sana » Mon Aug 06, 2012 6:46 am - 0 Replies
- 305 Views
- Last post by sana
Mon Aug 06, 2012 6:46 am
- Forecasting ARJI-Garch model
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- How to interpret the BEKK coefficients
by hardmann » Tue Mar 01, 2011 10:38 am - 5 Replies
- 1262 Views
- Last post by TomDoan
Thu Aug 02, 2012 9:39 am
- How to interpret the BEKK coefficients
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- Garch models for stock returns
by GaryM26 » Mon Jul 23, 2012 1:38 pm - 2 Replies
- 408 Views
- Last post by GaryM26
Tue Jul 24, 2012 1:48 pm
- Garch models for stock returns
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- MS-XGARCH-M
by yanne1224 » Wed Jul 18, 2012 11:00 am - 2 Replies
- 506 Views
- Last post by yanne1224
Thu Jul 19, 2012 2:23 am
- MS-XGARCH-M
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- Conducting a LB-Q test in a GARCH model using MAXIMIZE
by Masafumi » Thu Jun 07, 2012 3:58 pm
- 4 Replies
- 508 Views
- Last post by Masafumi
Sat Jun 30, 2012 6:34 pm
- Conducting a LB-Q test in a GARCH model using MAXIMIZE
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- Volatility Spillovers with Bivariate BEKK
by kian651 » Mon Jun 11, 2012 7:33 pm
- 4 Replies
- 1084 Views
- Last post by TomDoan
Tue Jun 26, 2012 12:50 pm
- Volatility Spillovers with Bivariate BEKK
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- Forecasting Actual Series with @MVGarchFore
by victor » Fri Jun 22, 2012 8:24 pm
- 1 Replies
- 358 Views
- Last post by TomDoan
Tue Jun 26, 2012 8:25 am
- Forecasting Actual Series with @MVGarchFore
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- Symmetric BEKK with explanatory variables
by Islam Hassouneh » Mon Jun 11, 2012 2:10 pm - 1 Replies
- 293 Views
- Last post by TomDoan
Mon Jun 11, 2012 6:27 pm
- Symmetric BEKK with explanatory variables
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- IRF from VAR-BEKK
by FaeK » Mon May 14, 2012 5:20 pm - 4 Replies
- 1271 Views
- Last post by FaeK
Tue May 22, 2012 6:21 pm
- IRF from VAR-BEKK
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- Various two-step DCC models
1, 2 by TomDoan » Thu Aug 05, 2010 1:48 pm
- 21 Replies
- 4301 Views
- Last post by TomDoan
Thu Jun 21, 2012 10:15 am
- Various two-step DCC models
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- VAR-GARCH BEKK and irf
1, 2by luxu1983 » Thu Aug 13, 2009 12:18 pm - 20 Replies
- 5957 Views
- Last post by TomDoan
Tue May 15, 2012 10:50 am
- VAR-GARCH BEKK and irf
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- Asymmetry issue
by FaeK » Thu Mar 01, 2012 7:52 am - 2 Replies
- 1178 Views
- Last post by FaeK
Mon May 14, 2012 5:22 pm
- Asymmetry issue
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- How to get the ideal result in a FIEC-HYGARCH Model?
by u8810137 » Thu May 03, 2012 2:21 am - 14 Replies
- 1477 Views
- Last post by u8810137
Sat May 12, 2012 9:43 am
- How to get the ideal result in a FIEC-HYGARCH Model?
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- Flexible Handling of Multivariate Mean Model
by TomDoan » Fri May 11, 2012 11:55 am - 0 Replies
- 889 Views
- Last post by TomDoan
Fri May 11, 2012 11:55 am
- Flexible Handling of Multivariate Mean Model
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- extra explanatory variable in DCC-Garch model
by sana » Mon May 07, 2012 4:14 am - 1 Replies
- 338 Views
- Last post by TomDoan
Mon May 07, 2012 10:23 am
- extra explanatory variable in DCC-Garch model
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- Forecasting with a ARIMA/GARCH Model
by rmvoller » Wed Apr 11, 2012 4:25 pm - 4 Replies
- 590 Views
- Last post by rmvoller
Tue May 01, 2012 2:16 pm
- Forecasting with a ARIMA/GARCH Model
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- assymteric in BEKK model
by chiade » Thu Apr 26, 2012 2:45 am - 1 Replies
- 359 Views
- Last post by TomDoan
Thu Apr 26, 2012 7:52 am
- assymteric in BEKK model
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- Volatility IRF
by fadimohamed » Tue Apr 24, 2012 5:32 am
- 1 Replies
- 1183 Views
- Last post by TomDoan
Wed Apr 25, 2012 12:43 pm
- Volatility IRF
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- MGARCH and Robust option
by amcqeen » Sun Apr 22, 2012 10:14 am - 1 Replies
- 202 Views
- Last post by TomDoan
Sun Apr 22, 2012 6:44 pm
- MGARCH and Robust option
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