The RATS Software Forum

Thank you Tom, this helps a lot.

Finally, is there any way to set initial values when using the DCC integrated option? My model does not converge for either the BHHH of the BFGS method.

Thank you,
Alan

Dear Tom, I noticed, running your DCC with your data, that AFIX and BFIX are >1. I get the same results for many different dataset and many different approaches. How comes it never yields to stationary results? Also, is there a way to set initial variable if the integrated method does not converge (...

Hi, I'm working on a DCC GARCH model which I want to estimate using Engle (2002) two-step procedure. First, I successfully extract the coefficients (which make perfect sense). Then, I run into difficulties when trying to maximize the matrix Q_t. Here is the code I use. *Correlation do i=1,nSeries se...

Thank you for your response, I'm in fact referring to this exact paper. I understand how they establish the ratio and formally test whether or not the EGARCH model adds value. Basically, they test whether they can reject the null hypothesis corresponding to the usage of a GARCH(1,1) model. However, ...

Hello, I have 5 series of data which consist of 5-year bond yields for 5 different countries. I have estimated an EGARCH(1,1) model for each as well as the GJR-GARCH(1,1). I would like to test which of these 2 models does a better job at matching the data. I found a procedure by Engle and Ng (1993) ...