The RATS Software Forum

Thanks a lot!

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. EQUATION C R_C # CONSTANT R1_C R2_C R...

Thanks Tom. I guess I'll just figure out the coefficients for the variables from BEKK and use SUMMARIZE to test the combination of those.

Tom, please ignore my question about the dimension of X(t). If it is the same value for all variables then it is like a dummy variable and I can multiply G'G with X(t) through elementwise multiplication. Right?

But still, can you please clarify the Cholesky factor form? Thanks.

And in this case I don't have only dummy variables in the variance equation. Some of the X(t) are actually economic variables. So, if G is upper or lower triangular then G' G will be 3x3. Then X(t) should be also 3x3. But I don't think that's the case. The variable X has the same value for each mark...

Thanks Tom. One more thing. When you say Cholesky factor form is it uppe or lower triangular in RATS? That is: is the constant matrix C (and any coefficient matrix of an exogenous variable in the variance equation) as follows (with Matlab's matrix notation): [c11 0 0 ; c21 c22 c23; c31 c32 c33] And ...

Tom, another question is (if you don't mind): how the exogenous variables enter into the BEKK model with asymmetry if we have trivariate model? Is it like the following: H(t)=C'C + A'u(t-1)u(t-1)'A + B'H(t-1)B + D'v(t-1)v(t-1)'D + G1' X1(t) X1(t)' G1 + G2' X2(t) X2(t)' G2 where C, A, B, D, G1, and G...

Thanks Tom. I have 4276 observations. I tried the following code (changed to BFGS and increased convergence criteria) and got convergence in 472 iterations. I saw several other posts about using "maximize" rather than "garch." Do you think what I get from this "garch" i...

I am a pretty new RATS user. So, please forgive me in advance if my questions are so trivial. I am trying to analyze spillover effects between the volatility of three markets. The mean equation for each market includes a constant and 5 lags of the return. The variance equations have arch, garch, and...