The RATS Software Forum

Many thanks. For example, to see the impact of an exogenous variable, denoted by X, on the conditional variances of another variable (let's say Y) as bellow: σ{i,t}² =α{i}+δσ{i,t-1}²+γu{i,t-1}² + w*X(i,t-1) for i=1,...N σ{ij,t}² =η{ij}+λσ{ij,t-1}+ρu{i,t-1}u{j,t-1} for i≠j Many thanks for everything,...

Hi Tom,

Hope that all is well. I wanted to include exogenous variables in the variance equation from the code posted above for the panel garch. Is this possible? Any insights are much appreciated.

Many thanks,
Faek

Thank you so much for the prompt reply and the valuable help- It is much appreciated!

Dear Tom,

I hope that this email finds you well. I would like to save the conditional variances from the multivariate GARCH using maximize (in the attached file). I will be much grateful if you could provide your insights in this regard.

Many thanks for everything,
Faek

Dear Tom, Many thanks for the prompt reply. Indeed, I am aware that it tests for a break in a single regressor. I am confused about how to get or estimate the switching parameters on this single regressor (a parameter when the regressor is above the threshold and one it is below the threshold) when ...

Dear Tom, I hope that you are well. I run the panelthresh procedure posted above and indeed it tests for single and double threshold effects. However, I am slighly confused as the estimated regression reports only one parameter on the breakvar. Do I need to construct interactive terms (slope dummies...

Dear Tom,

Thank you. I want to save and plot p1eq and p2eq which are the time varying probabilities. Could you provide any hints for this?

Thank you so much
Faek

Dear Tom,

I hope that you are well. The code plots NBER recessions vs the probability of slow growth state. I would like to plot the graphs of the estimated time varying probabilities only, however, I could not sort it out. Any hints are very much appreciated.

Many thanks
Faek

Thank you so very much, Tom. It is much appreciated.

Many thanks
Faek

Dear Tom,

I hope that you are well. I am using the old code (attached) of DCC model for engle. However, I fail to extract and plot the dynamic correlations.

I am so grateful to you for your insightful help over my work. Thank you very much for any hints for this as well.

Regards
Faek

Dear Tom, Thank you so much for all your help and patience. As the labeling on the output is backwards, I thought that VB(i,j) is shock j to variable i. I attached the theoretical model to this post. If the coefficients are entering the matrices as in the attached file (in line with Tsay example 10....

Dear all, Because of the way the VARMA-GARCH model (ref: McAleer et al 2009) is set up, A(1,2) [or VB(1,2) as above] would be shocks in 2 to affect variances of 1 and A(2,1) would be shocks in 1 to affect variances of 2, is not it? I really appreciate any comments or hints to make sure of this? Many...

Dear Tom, I hope that you are very well. Sorry for this trivial question and I am highly grateful to you for all your help throughout my work. In the code you posted above for the estimation of CC-VARMA-GARCH model using maximize (thank you very much for providing the code)[reference: MacAleer et al...

Dear Tom,

I really appreciate your kindness and patience. Actually, I have tried a range of possibilities. I have tried to estimate it for just switching in the mean (without variance) and with only one variable affecting the TVP, I always get the same problem.

Many thanks
Faek

Dear Tom,

Yes, I set it to zero. however, I have tried setting the lags to 4 or any other number of lags apart from zero, it give me the same message and problem.

Many thanks
Faek