The RATS Software Forum

Dear Tom, If I understand right, in this program you show the oil shock (3rd variable) to all the 3 variables in the system. I notice the following in your program: ewise voil(i)=sigmav(i)(3,3) compute swaps=%index(voil) if swaps(1)==2 disp "Draw" draw "Executing swap" Do I need ...

Sure, though you might find it easier to pull the full table into a spreadsheet and do the calculation there. If I understand correctly, the volatility spillover index can be simply the sum of bilateral index: compute tovol1(end)=100.0*(gfevdx(x,a)+gfevdx(y,a)+gfevdx(z,a)+gfevdx(x,b)+gfevdx(y,b)+gf...

The directional values are obtained using ewise fromvar(i)=%sum(%xrow(gfevdx,i))-gfevdx(i,i) ewise tovar(i)=%sum(%xcol(gfevdx,i))-gfevdx(i,i) where gfevdx is the extracted value for a particular horizon. 100.0*fromvar(i) is the contribution from other variables to variable i(in percentages). 100.0*...

Dear Tom, For the procedure of Markov regime switching multivariate regression @MSSysRegression, I see that the independent variables on the right hand side are set to be the same. Is there possibility that the right hand side variables can be different across equations? For example, I want to run t...

Thanks Tom! It works.

Dear Tom, Here is the code I wrote, but actually I am not sure how to deal with GARCHRegimeH(i). I added it at the end of the Dueker's program, and error message turns out that : ## SX15. Trying to Store into Constant or Expression. Called Parameter by Value? >>>>e GARCHRegimeH(i)=1<<<< Could you he...

Dear Tom,

Could you post another example of variance estimation for the Dueker's regime switching GARCH case? I have tried to duplicate and revise your above example to Dueker's code, but it does not seem to work. Appreciate your help a lot! Thanks.

Dear Tom,

Thanks for your reply. But I have another question when reading the output: How to intepret the P(1,1) and P(1,2)? Does P(i,j) suggest the probability of switching from j to i? Then how to calculate the value of P(2,1) and P(2,2)?

Dear Tom,

Sorry, the file I am using is SWGARCH_NF.rpf

Dear Tom, I estimate the Dueker (1997)'s paper using my RATs 8.2. It works fine, but when it comes to the last part of the program to estimate the model with fixed means, I cannot get the value of p1 and p2. In fact, p1 and p2 are both zero. Could you help me with this? Thanks a lot for your help in...

I'm using the replication file of Hamilton and Susmel(1994): Autoregressive Conditional Heteroskedasticity and Changes in Regime to do the SWARCH model. I was able to obtain the result. This program gives us the residuals and squared residuals. However, I cannot find how to get the conditional varia...

Dear Tom, Thanks for your kind reply. Dear Tom: I'm now running the SWARCH(3,2) model and I have two questions: 1. I get the trasition probability matrix using disp %mslogisticp(theta). It is a 2*3 matrix. But what does each element in the matrix mean? I thought it should be a 3*3 matrix. The bottom...

Dear Tom: I'm now running the SWARCH(3,2) model and I have two questions: 1. I get the trasition probability matrix using disp %mslogisticp(theta). It is a 2*3 matrix. But what does each element in the matrix mean? I thought it should be a 3*3 matrix. 2. Can RATS run a bivariate SWARCH model?