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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- why get MAT15 in bivariate DCC-GARCH
by wendyyuan » Fri Sep 30, 2011 2:24 pm - 3 Replies
- 326 Views
- Last post by TomDoan
Sun Oct 02, 2011 1:00 pm
- why get MAT15 in bivariate DCC-GARCH
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- Copula MV-GARCH vs. DCC
by yngvi » Tue Jul 05, 2011 10:13 am - 1 Replies
- 781 Views
- Last post by hongrc
Thu Sep 08, 2011 9:25 am
- Copula MV-GARCH vs. DCC
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- Multivariate ANST-GARCH
by huanpipt » Mon Aug 29, 2011 3:21 am
- 8 Replies
- 907 Views
- Last post by TomDoan
Tue Sep 06, 2011 5:56 pm
- Multivariate ANST-GARCH
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- Q_t matrix in garch(...,mv=dcc)
by uli » Tue Sep 06, 2011 11:33 am - 0 Replies
- 406 Views
- Last post by uli
Tue Sep 06, 2011 11:33 am
- Q_t matrix in garch(...,mv=dcc)
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- T values are huge, errors very small
by hardmann » Sat Aug 27, 2011 9:06 pm
- 3 Replies
- 542 Views
- Last post by TomDoan
Thu Sep 01, 2011 1:48 pm
- T values are huge, errors very small
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- Integrated DCC GARCH
by gemmamc88 » Sun Aug 28, 2011 7:51 am - 2 Replies
- 752 Views
- Last post by TomDoan
Mon Aug 29, 2011 5:28 pm
- Integrated DCC GARCH
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- how to modify DCC
by UOB-rubick » Thu Aug 18, 2011 12:07 pm
- 7 Replies
- 1580 Views
- Last post by TomDoan
Mon Aug 22, 2011 1:23 pm
- how to modify DCC
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- GJR(1,1)-MA(1)-M
by AndresT » Mon Aug 22, 2011 3:26 am - 1 Replies
- 478 Views
- Last post by TomDoan
Mon Aug 22, 2011 9:45 am
- GJR(1,1)-MA(1)-M
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- M-GARCH-M in GARCH Wizard
by PERRY » Sat Jul 30, 2011 6:37 pm - 11 Replies
- 1273 Views
- Last post by TomDoan
Mon Aug 08, 2011 2:08 pm
- M-GARCH-M in GARCH Wizard
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- Multivariate GARCH no convergence
by gemmamc88 » Fri Aug 05, 2011 12:58 pm - 1 Replies
- 606 Views
- Last post by TomDoan
Fri Aug 05, 2011 4:06 pm
- Multivariate GARCH no convergence
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- DCC GARCH positive definiteness
by gemmamc88 » Tue Aug 02, 2011 6:18 am - 3 Replies
- 521 Views
- Last post by TomDoan
Fri Aug 05, 2011 10:17 am
- DCC GARCH positive definiteness
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- Gray Regime Switching GARCH model
by joannytan » Tue Nov 30, 2010 8:46 pm
- 10 Replies
- 1992 Views
- Last post by sana
Wed Aug 03, 2011 5:06 am
- Gray Regime Switching GARCH model
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- Markov Switching DCC-GARCH model with exogenous variable
by sana » Tue Aug 02, 2011 7:33 am - 0 Replies
- 551 Views
- Last post by sana
Tue Aug 02, 2011 7:33 am
- Markov Switching DCC-GARCH model with exogenous variable
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- Rolling AR(1)-GARCH(1,1)
by Farid » Tue Jun 21, 2011 11:31 am
- 10 Replies
- 1414 Views
- Last post by TomDoan
Mon Jul 11, 2011 10:47 am
- Rolling AR(1)-GARCH(1,1)
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- GARCH with ARMA mean equation
by Farid » Mon Jul 04, 2011 8:55 pm - 3 Replies
- 581 Views
- Last post by TomDoan
Wed Jul 06, 2011 9:41 am
- GARCH with ARMA mean equation
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- Value-at-Risk Forecasts with AR(1)-GARCH(1,1)
by Farid » Thu Jun 23, 2011 2:48 am
- 6 Replies
- 812 Views
- Last post by Farid
Fri Jun 24, 2011 6:45 pm
- Value-at-Risk Forecasts with AR(1)-GARCH(1,1)
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- GARCH DCC with regressors affecting the mean
by RDS » Tue Jun 21, 2011 8:29 am - 3 Replies
- 774 Views
- Last post by TomDoan
Fri Jun 24, 2011 11:14 am
- GARCH DCC with regressors affecting the mean
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- Rolling GARCH(1,1) forecasts
by ylijohtaja » Wed Jun 22, 2011 11:41 am - 1 Replies
- 535 Views
- Last post by TomDoan
Fri Jun 24, 2011 10:50 am
- Rolling GARCH(1,1) forecasts
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- Code Problems
by sulong » Sun Jun 19, 2011 8:05 pm
- 2 Replies
- 433 Views
- Last post by sulong
Tue Jun 21, 2011 9:38 am
- Code Problems
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- AR(1)-Garch(1,1) Joint Estimation
by Farid » Mon Jun 13, 2011 6:18 am - 6 Replies
- 1613 Views
- Last post by TomDoan
Wed Jun 15, 2011 10:11 am
- AR(1)-Garch(1,1) Joint Estimation
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- St. errs. changed when re-running MAXIMIZE after convergence
by marinbozic » Mon Jun 13, 2011 12:00 am
- 2 Replies
- 536 Views
- Last post by marinbozic
Tue Jun 14, 2011 1:15 am
- St. errs. changed when re-running MAXIMIZE after convergence
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- xregressors in multivariate GARCH
by marinbozic » Mon Jun 13, 2011 11:45 pm - 0 Replies
- 384 Views
- Last post by marinbozic
Mon Jun 13, 2011 11:45 pm
- xregressors in multivariate GARCH
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- MV-GARCH Diagnostics
by bekar » Fri Jun 03, 2011 8:48 am - 2 Replies
- 801 Views
- Last post by bekar
Sun Jun 05, 2011 10:14 am
- MV-GARCH Diagnostics
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- Rolling AR(5)-GARCH(1,1)
by ac_1 » Sat Jun 04, 2011 10:50 am - 2 Replies
- 461 Views
- Last post by ac_1
Sat Jun 04, 2011 3:47 pm
- Rolling AR(5)-GARCH(1,1)
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- BEKK-GARCH constant
by fadimohamed » Wed May 25, 2011 4:15 am - 8 Replies
- 1484 Views
- Last post by TomDoan
Thu Jun 02, 2011 10:29 pm
- BEKK-GARCH constant
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