The RATS Software Forum

Hi Tom, i want to estimate a vertical price transmission model using two prices (wholesale and retail) and test for asymmetry in the the conditional mean using asymmetric VECM and the conditional variance using asymmetric BeKK-GARCH. the literature review has focused on a single equation asymmetric ...

Hi Tom,

i have a multivariate asymmetric garch model, i want to test the stability of the model, is the flux test applicable to the multivariate specification?

Fadi

Hi Tom,

i have estimated a bivariate BEKK-GARCH with asymmetry and i want to do a impulse response for the estimated volatility, can i use the code available following Hafner Herwartz (2006) methodology?

thank you for your help

Fadi

Hi Tom, i was trying to apply a shock on a system of three prices VECM. if the date of applying the shock changed does it change the results of the impulse responses? if yes i need your help of how to change the date of applying the shock using the instruction IMPULSE. thank you so much for your hel...

i have reviewed the literature for interpolating monthly data to weekly but unfortunately all what i have found is just mentioning briefly without a concrete methodology, as you mentioned before You can't use @DISAGGREGATE to do monthly to weekly. That procedure is designed to handle only frequencie...

Dear tom,

assuming i dont have the day of the week effect, would you provide me a plain example of how to interpolate data from
monthly to weekly?

thanks for your help

Dear tom,
with respect to the constant, as mentioned in the dissagregate.src, the constant is used only in (model=AR1), is it meant here the linear model or is it meant (tsmodel=AR1)?

Dear Tom, i have a monthly time series and i want to make it weekly to match the database i am analyzing but i have two problems, First is, the observed weekly data with is not uniformly distributed, so my question here is how to fill in exactly the empty weeks? is it correct that factor=3 increase ...

Dear tomm, i am asking this because i have a doubt if using exogenous variables with unit roots in the variance equations is empirically problematic, so we need to take first difference to remove these unit roots? what i understand from your reply is that there is no reason why not to use the exogen...

Dear Tomm,

The two non-stationary exogenous variables are in the variance equations

Hi tomm,
i am using a bivariate GARCH-X model with two exogenous variables, the exogenous variables have unit roots in levels, can i use them in levels or i should take first differences?

thanks

Fadi

Dear Tomm, I have a question with regard to setting the initial values for the variances, taking into account that i am using an asymmetric BEKK representation GARCH(1,1), should i use the long-run unconditional variance equation? Is there a way to consider the asymmetry effects in it? Many Thanks F...

Can anyone help me with the following covariance stationarity contion question? The BEKK model is covariance stationary when the eigen values of A ⨂ A + B ⨂ B are less than 1, how can i calculate the covariance stationarity in the presence of asymmetry (the Matrix D) or in the presence of exogenous ...

yes i do get convergence with different orders but the estimates chaanges and also the significance of the estimates changes.

Tom, the only thing that i can post is the code and for the data i can't post it for confidentiality issues. equation eq1 dlbio #constant dlbio{1} dlsunflower{1} dlcrude{1} residci{1} dummy3 dummy6 equation eq2 dlsunflower #constant dlbio{1} dlsunflower{1} dlcrude{1} residci{1} dummy3 dummy6 equatio...