The RATS Software Forum

I just got RATS 10 and am estimating a DCC GARCH model, and I get an odd result: garch(p=1, q=1, model=ar8, mv=dcc, rvectors=resid, vcv, hmatrices=hh, robust) / longap nygap sfgap singgap sydgap ## SX22. Expected Type SERIES[VECTOR[REAL]], Got SERIES[REAL] Instead I have always used the rvectors=res...

I attempt to use the threshtest, and I put in and get the following: @threshtest(thresh=natstart, d=1, graph, nreps=10000) natstart ## OP3. This Instruction Does Not Have An Option D >>>>thresh=natstart, d=<<<< I have tried this several times, but I keep getting the same message about how this instr...

Does anybody know what to do about the following-obviously, getting convergence in DCC-GARCH models is difficult. But when I set the number of iterations to say, 800, as below, garch(p=1, q=1, model=ar1, mv=dcc, method=bhhh, iterations=800, rvectors=resid, vcv, hmatrices=hh, robust) I get a message ...

Dear Colleagues- Does anyone know how to compute, obtain, and graph error bands from DCC GARCH models-that is, error bands for the DCCs themselves, once the DCCs have been computed? So that one can get confidence intervals for the time-varying correlations? Would be very grateful for any guidance. T...

Does anyone know about implementing the new Filardo procedure for estimating an MS model with time-varying probabilities? I have version 8 of RATS, and I follow all of the commands in Filardo, but I get an error message about missing operands. In particular, I do the following: compute nlags=4 * sou...