The RATS Software Forum

Hi Tom, found GARCHMV.RPF. Thank you!

Hi Tom, thanks for replying my first question at the Forum. Please advise me where I can find GARCHMV.RPF and the dataset so that I can run and see if I can get the same result as yours.

I am a new user (need encouragement). This is my first question at this forum. I want to find out if the volatility of two return series are spilling over to each other. When I was using Eviews, I added an additional volatility variable of return Y to the GARCH model of return X to see if the coeffi...