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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- BEKK with Dummy
by Niko » Mon Apr 16, 2012 4:37 am
- 0 Replies
- 270 Views
- Last post by Niko
Mon Apr 16, 2012 4:37 am
- BEKK with Dummy
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- Nonlinear combinations of BEK parameters
by willb » Mon Apr 09, 2012 9:42 am - 1 Replies
- 205 Views
- Last post by TomDoan
Mon Apr 09, 2012 1:04 pm
- Nonlinear combinations of BEK parameters
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- Panel GARCH-in-mean
by nikosant » Mon Apr 09, 2012 9:18 am - 0 Replies
- 1147 Views
- Last post by nikosant
Mon Apr 09, 2012 9:18 am
- Panel GARCH-in-mean
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- BEKK and xreg
by maathews » Fri Mar 16, 2012 3:51 pm - 5 Replies
- 376 Views
- Last post by avalokita
Sat Apr 07, 2012 4:08 am
- BEKK and xreg
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- goodness of fit measures for different garch models
1, 2by anozman » Tue Mar 06, 2012 7:15 pm - 21 Replies
- 1633 Views
- Last post by TomDoan
Thu Mar 29, 2012 12:18 pm
- goodness of fit measures for different garch models
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- Another Generating Garch Data Question
by elizamcginley » Wed Mar 14, 2012 11:00 am - 3 Replies
- 302 Views
- Last post by TomDoan
Thu Mar 15, 2012 10:39 am
- Another Generating Garch Data Question
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- Generating Data for a Garch Model
by elizamcginley » Sun Mar 11, 2012 8:37 am - 1 Replies
- 928 Views
- Last post by TomDoan
Sun Mar 11, 2012 5:46 pm
- Generating Data for a Garch Model
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- MV garch model w assymetry + spillovers
by chiade » Fri Mar 09, 2012 2:51 am - 0 Replies
- 345 Views
- Last post by chiade
Fri Mar 09, 2012 2:51 am
- MV garch model w assymetry + spillovers
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- multivariate garch time-trend in correlation equation
by bkoksal » Mon Feb 27, 2012 10:38 am - 1 Replies
- 295 Views
- Last post by TomDoan
Mon Feb 27, 2012 11:35 am
- multivariate garch time-trend in correlation equation
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- Q stat DCC GARCH
by aymenbelgacem » Wed Feb 08, 2012 4:18 pm
- 7 Replies
- 741 Views
- Last post by moderator
Fri Feb 10, 2012 12:07 pm
- Q stat DCC GARCH
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- How to combine BEKK and EGARCH
by huanpipt » Mon Feb 06, 2012 10:41 pm - 1 Replies
- 405 Views
- Last post by TomDoan
Tue Feb 07, 2012 1:02 pm
- How to combine BEKK and EGARCH
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- MULTIVARIATE ARCH AND JARQUE-BERA TESTS
by mmkubilay » Mon Jan 23, 2012 1:40 pm
- 13 Replies
- 1677 Views
- Last post by mmkubilay
Tue Jan 31, 2012 4:32 pm
- MULTIVARIATE ARCH AND JARQUE-BERA TESTS
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- GARCH with asymmetric volatility
by timkrause » Wed Jan 25, 2012 9:53 pm - 2 Replies
- 434 Views
- Last post by timkrause
Fri Jan 27, 2012 1:31 am
- GARCH with asymmetric volatility
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- GARCH models on subsamples
by filonat » Thu Jan 19, 2012 5:14 am
- 6 Replies
- 549 Views
- Last post by TomDoan
Wed Jan 25, 2012 3:26 pm
- GARCH models on subsamples
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- covariance stationarity
by fadimohamed » Wed Jan 18, 2012 2:32 pm - 1 Replies
- 269 Views
- Last post by TomDoan
Thu Jan 19, 2012 12:19 pm
- covariance stationarity
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- GJR(1,1)-m for WTI spot price
by filonat » Wed Jan 04, 2012 3:58 am
- 3 Replies
- 586 Views
- Last post by filonat
Mon Jan 09, 2012 11:34 am
- GJR(1,1)-m for WTI spot price
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- Changing Distribution in MAXIMIZE function
by yukun » Wed Oct 05, 2011 12:57 pm - 6 Replies
- 738 Views
- Last post by TomDoan
Mon Dec 19, 2011 6:05 pm
- Changing Distribution in MAXIMIZE function
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- nonparametric VAR-GARCH-M codes
by vcerqueira » Tue Sep 27, 2011 1:35 pm - 8 Replies
- 1099 Views
- Last post by vcerqueira
Wed Dec 14, 2011 6:41 am
- nonparametric VAR-GARCH-M codes
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- DCC-GARCH correlation standard errors
by potiv » Wed Dec 07, 2011 6:25 pm - 0 Replies
- 397 Views
- Last post by potiv
Wed Dec 07, 2011 6:25 pm
- DCC-GARCH correlation standard errors
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- DCC GARCH correlations
by alanharper » Mon Nov 28, 2011 9:16 am - 1 Replies
- 443 Views
- Last post by moderator
Tue Nov 29, 2011 2:22 pm
- DCC GARCH correlations
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- Multivariate GARCH causality testing
by willb » Fri Nov 18, 2011 3:34 pm - 2 Replies
- 884 Views
- Last post by willb
Mon Nov 21, 2011 9:42 am
- Multivariate GARCH causality testing
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- Panel GARCH? (Cermeno and Grier, 2006)
by ksvirydzenka » Mon Jun 07, 2010 10:06 am - 3 Replies
- 1651 Views
- Last post by TomDoan
Thu Oct 20, 2011 9:18 am
- Panel GARCH? (Cermeno and Grier, 2006)
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- BEKK Diagnostics
by luxu1983 » Mon Jan 11, 2010 9:55 am - 11 Replies
- 1692 Views
- Last post by TomDoan
Sun Oct 09, 2011 8:07 pm
- BEKK Diagnostics
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