The RATS Software Forum

I don't have HH. Do you mean h?

Thanks Tom I know this example but I can't use the GARCH instruction and the Xregressors because I want to add the lagged variance of the market i in the market j and other variables, so I tried to paste the second part of GRACHMV example in which one calculates the standardized residuals. But the p...

Yes I mean the @mvqstat but I don't know how to treat the dynamic correlation before using the procedure
Thanks Tom

Hi I'm using an old version of Engle(2002) JBES for the DCC GARCH and I would like to calculate the MV Qstat Is there any suggestion plz. I don't use the GARCH instruction to estimate the model because I would like to introduce some other variables in GARCH and Q equations... This is a part of the c...

It's STAR STGARCH and not STAR GARCH (smooth transition in mean and variance equation)

Hi everyone
Is there any replication code for the STAR STGARCH model, as explained in Lundberg and Terasvirta, 1999 "Modelling economic high frequency time series". Stockholm school of economics WP