The RATS Software Forum

What I aim to do is to estimate coefficients and variance/mean estimates over the moving window. For example, for estimating coefficients and h/u series for 706th day I want to use exclusively information from days 200-705(moving window of 505 days). And so on. 1) Does built-in GARCH instruction cod...

Hi Tom, I've attached 2 codes which should estimate AR(1)-GARCH(1,1,) coefficients by using initial sample of 505 days and then rolling the sample by 1 day each time. In one file I used GARCH command, in another - I made it more flexible(because my 2nd model must needs some flexibility) constructing...

Thanks Tom. Is it a correct way to estimate and forecast ARMA-GARCH? The reason why I'm asking - because now I did what you said, but the program is too slow in implementing the instruction and it's even frozen.

Hi. Could you please look and see what is wrong in the following code? It gives an error in both estimation and rolling process: OPEN DATA "C:\Documents and Settings\admin\Desktop\FINAL - Daily.RAT" CALENDAR(D) 2006:1:4 DATA(FORMAT=RATS) 2006:01:04 2010:11:26 RT *** Estimating GARCH garch(...

Thanks for clarification Tom. How do I incorporate COEFFS series (there are available in the series window under COEFF(1), COEFFS(2), etc. labels) into mean and variance equations? I did simple "compute coeffs(3,4,5)=vc,va,vb", but as you can see the code generates an error in variance equ...

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My previous AR(1)-GARCH(1,1) rolling has already forecasted 1) h series 2) u series 3) 5 coefficients for 777 days. Now I need to do the following: specify mean equation, variance equation and calculate one day ahead VaR forecasts for further testing (comparing to real returns). When I specify mean ...

Thanks for response Tom. In my case, however, I have a little bit different situation. I have a full sample of 1287 days. I use 511 days as a sample period to estimate AR(1)-GARCH(1,1) coefficients. After that I roll the regressions with moving window of 511 to obtain AR(1)-GARCH(1,1) coefficients f...

Hi again,

I need to generate and test Value-at-Risk (VaR) forecasts based on AR(1)-GARCH(1,1) estimates. Could you please suggest me any references (RATS codes) which deal with VaR forecasts in GARCH setup?

Thanks in advance,

Farid

I guess now I got it. Thanks again.

Thanks a lot Tom. You are right gend-width+1 didn't work out with AR(1), while gend-width+2 generated forecasts(I changed it to +2 in both lines). Although I'm not sure how it will affect the overall forecasting process. Could you please comment on that? I have got the following for now: OPEN DATA &...

Thanks for quick response Tom. : OPEN DATA "C:\Documents and Settings\admin\Desktop\teze.RAT" CALENDAR(D) 2006:1:3 DATA(FORMAT=RATS) 2006:01:03 2010:12:08 RT smpl 2 511 garch(p=1,q=1,reg,resids=u,hseries=h) / rt # constant rt{1} ***Testing standardized residuals set ustd = u/sqrt(h) set us...

Hi. I did model estimation first and then rolling procedure, although I'm not sure if it's correct. Seems like AR(1) is missing in the rolling stage, but I'm not sure. Here is the code. OPEN DATA "C:\Documents and Settings\admin\Desktop\teze.RAT" CALENDAR(D) 2006:1:3 DATA(FORMAT=RATS) 2006...

Could you please look at this code and say what is wrong with it? This refers to Exercise 3.3 (Tsay, 2005, p.148), except that it was applied to my own dataset. It is AR(1)-GARCH(1,1) setup with normality assumption. OPEN DATA "C:\Documents and Settings\admin\Desktop\teze.RAT" CALENDAR(D) ...

Thanks for information Tom. What you said is consistent with my results (coefficients for AR(1) either insignificant or not realistic). Although I dont' know how to get AR(1) estimates embedded in GARCH(1) in RATS. I guess that is what is called AR(1)-GARCH(1,1) joint estimation and that is what I ...