The RATS Software Forum

Dear Tom When I run the code about a VARMA(2,2)-GARCH-BEKK, I get different results if I change the order of variables. How is it caused? It's like system(model=varmah) variables mb zjz lags 1 2 det constant eps(1){1} eps(2){1} eps(1){2} eps(2){2} sqrth(1) sqrth(2) end(system) But if I change the co...

Thanks Tom. Here i have another question that is how i define the shock in the " compute hvec=%%vech_a*shock" in the part of "Use the VECH representation to compute the VIRF to the original shock" if I'd like to make volatility impulse responses of oil price and GDP in a bivariat...

Dear Tom, Hello I would like to know whether the generalized Impulse Response and volatility Impulse Response in enclosed paper can be obtained using the method you have posted? Taking the VARMA-GARCH-in-M-Asymmetric BEKK as a example, how can i make changes for the related code you have posted to e...

I am sorry that i have another question. Are the coefficients from the variance model of a GARCH model stored in a vector like %BETA? How can i get the coefficients in A(1,2)、A(2,1)、B(1,2)、B(2,1)、D(1,2) and D(2,1). The following is the output of a VARMA-GARCH-BEKK model. regards Bella MV-GARCH, BEKK...

dear Tom
I mean the null Hypothesis is: all the coefficients including a11、a12、b12、d12、a21、b21、d21are simultaneously zero
that is Null Hypothesis: a12=b12=d12=a21=b21=d21=0.

dear Tom, I'd like to ask for a code for Wald test and likelihood ratio test within a VARMA(2,1)-asymmetric BEKK-GARCH-M (square root) model for a12=b12=d12=a21=b21=d21=0, that is testing whether all coefficients including a12、b12、d12、a21、b21and d21 equal to 0? the variance equation is showed in the...