The RATS Software Forum

I was referring to the time dynamic conditional correlation series we obatian from the DCC estimation rho(t). I wanted to use it to test for level shift following Chiang et al (2007): Dynamic correlation analysis of financial contagion: Evidence from Asian markets, Journal of International Money and...

Dear Tom, I have used the DCC GARCH model as it is programed in RATS and I had a couplde of queries about the results. Frstly the DCC model used is supposed (I guess) to be mean reverting with a+b less than one however i get values that are very close to one. I tested for unit roots on the fitted va...

Dear Tom, How do I get the critical values when performing the Lee and Strazicich (2003) LM unit root tests with multiple breaks? In their papers the critical values are given for only a handful of cases for one and two breaks. Even for these cases my lambdas are different from those available in th...

how can i change the correlation so it can take any value between -1 and 1 instead of the rage(0,1)?

Thank you Tom for your prompt reply as always. Can I ask your advice about another issue. when i run the DCC model in most cases (of countries i use) the DCC(1) is always insignificant does that mean i cant rely on the conditional correlations to reach conclusions about the linkk between markets? I ...

Dear Tom, when calculating the conditional correlations form the DCC models I understood that we have to use the garch command and save the hmatrices=hh and then use set rho12 = hh(t)(1,2)/sqrt(hh(t)(1,1)*hh(t)(2,2)) and that this is the same for all mvgarch models. however for the dcc model aren't ...

how can i add a DCC garch model to this varma in mean model?

Thank you Tom you are absolutely right I guess i got luck with the first topic and i wasnt really interested in the normal garch part. i have a couple more questions: does the MVarchtest work with rats version 7.1? how to i input intial values for the parameters and restrictions when i use the norma...

Dear Tom I used your varma-bekk code to turn it into a varmax bekk(2,2) code. could you please check that i have done it correctly. I also added the commands to compute the standerdized residuals and the rho but i am not sure that this is correct because you define the varma residuals(residv) differ...

dear all, I would like to modify tsay's DCC model in example 10.5 cont(time varying correlation model). I need to add in more series (7) as i am analysing contagion from the usa to emerging markets but i would like to filter the residuals from the regional spillovers. so the usa will be like the sp5...

Dear Tom,

thank you for all your help. could tell me how to do the BG LM test for serial correlation on RAts for the VAR and how to compute the test statistic?

regards
Hashem

Thanks Mj I found it.

best
hashem

thank you tom for your prompt response.

when i tried your code though i got theis message:

## OP3. This Instruction Does Not Have An Option F
>>>>(1,1,7),a=%%dlma,f=<<<<

regards
hashem

I need to estimate a VARMA for 7 variables with one lag in both the var and ma components how do adjust the varmadlm code?

hello I am new to RATS usally worked with eviews and microfit but now i need to apply more advanced techniques. I was hopeing someone could help me with graphing impulse response functions for a VAR model with standard errors one graph for each shock for each variable, so that each graph has only on...