## MV-GARCH Diagnostics

Discussions of ARCH, GARCH, and related models

### MV-GARCH Diagnostics

Dear Tom,

I am trying to get some diagnostics for the models I estimated. Multivariate Q statistics works but I am getting an error while computing standardized residuals. It says
## MAT15. Subscripts Too Large or Non-Positive

Here is my code. Thanks in advance.

Code: Select all
`EQUATION C R_C# CONSTANT R1_C R2_C R3_C R4_C R5_C MonEQUATION SM R_SM# CONSTANT R1_SM R2_SM R3_SM R4_SM R5_SM MonEQUATION LH R_LH# CONSTANT R1_LH R2_LH R3_LH R4_LH R5_LH MonGROUP MEANM C SM LHGARCH(P=1,Q=1,MODEL=MEANM,MV=bekk,XREGRESSORS,METHOD=BFGS,PMETHOD=SIMPLEX,PITERS=15, HMATRICES=H, MVHSERIES=MVH, RVECTORS=U,ITERATIONS=1000, subiterations=50, CVCRIT=0.001)# APP cattle COF CP FO GS HP LDPO OCO wasde_mix wasde_pure \$ MON JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV* standardized residualsset z1 = U(t)(1)/sqrt(H(t)(1,1))set z2 = U(t)(2)/sqrt(H(t)(2,2))set z3 = U(t)(3)/sqrt(H(t)(3,3))@bdindtests(number=40) z1@bdindtests(number=40) z2@bdindtests(number=40) z3* Multivariate Q statisticdec vect[series] zu(%nvar)do time=%regstart(), %regend()   compute %pt(zu, time,%solve(%decomp(H(time)),U(time)))end do time@mvqstat(lags=40)# zu`
bekar

Posts: 9
Joined: Mon May 09, 2011 9:24 am

### Re: MV-GARCH Diagnostics

bekar wrote:Dear Tom,

I am trying to get some diagnostics for the models I estimated. Multivariate Q statistics works but I am getting an error while computing standardized residuals. It says
## MAT15. Subscripts Too Large or Non-Positive

Add the range parameters to these:

Code: Select all
`set z1 %regstart() %regend() = U(t)(1)/sqrt(H(t)(1,1))set z2 %regstart() %regend() = U(t)(2)/sqrt(H(t)(2,2))set z3 %regstart() %regend() = U(t)(3)/sqrt(H(t)(3,3))`
TomDoan

Posts: 2725
Joined: Wed Nov 01, 2006 5:36 pm

### Re: MV-GARCH Diagnostics

Thanks a lot!
bekar

Posts: 9
Joined: Mon May 09, 2011 9:24 am