The RATS Software Forum

I am struggling to comprehend how one would update the hs series for the sake of forecasting.

I imagine it would be, for example:

frml hsfore1 hs(1) = 1.0 + msg(2)*hs(1){1} + msg(1)*uus(1){1}/gv(1)

and similarly for hs(2).

Is this formula appropriate?

Thank you very much, that makes a lot more sense!

Dear Tom(s) Following your previous advice, I have included Dueker's (1997) MS GARCH (with a switching normalisation factor) in my current study as a sharper alternative to Gray(1996). As part of the assessment, I am trying to measure forecasting performance of the various models. The problem that I...

Thanks very much for all the help - especially regarding the more elegant characterisation of states. It seems that the model is producing sensible results in general. For some data sets, the Non-invertible matrix error message arises for particular guess values of the p-matrix. It seems very sensit...

Thanks very much, the latter if statement does sort out that problem. However, a new problem has arisen. The maximisation runs as normal for a few minutes, followed by the error message: "## MAT14 Non-invertible matrix. Using Generalised Inverse for Symmetric. The Error occorred at Location 170...

Thanks for the advice, I will definitely look into it. In my attempt to build an equivalent Multivariate version of Hamilton and Susmel's SWARCH (as in Ramchand and Susmel, 1998; Edwards and Susmel, 2001, 2003), I have written the code below. However, early on in the maximisation it gives the error ...

Dear Tom,

Apparently the file is too big to be posted, so I will e-mail it.
Thank you for your help.

Regards,
Daniel King

I am trying to develop a CCC bivariate version of Gray's(1996) MS-GARCH with single-regime mean equations for stock returns. I think the general logic of my code is fine, it draws heavily on the Gray(1996) paper replication example. For some reason however, the following error message pops up during...