Search found 3 matches
- Sat Sep 08, 2012 10:31 pm
- Forum: Help With Programming
- Topic: How can I get the residuals?
- Replies: 0
- Views: 3940
How can I get the residuals?
Hello, I am using the RATS codes that replicates the GARCH_DF model used by Dueker(1997) in "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility" pubilsed in Journal of Business and Econoic Statistics. I want to do analysis with the residuals of the final Markov ...
- Fri Sep 07, 2012 8:16 pm
- Forum: Structural Breaks and Switching Models
- Topic: Why are there so many observations skipped?
- Replies: 3
- Views: 7666
Re: Why are there so many observations skipped?
Thank you very much. I have two more questions. First, after inserting your codes, I run the program and have 0s for all elements of p1 and p2. What should I do to get the correct elements of p1 and p2 to graph them? Second, I want to do analysis with the residuals of the final Markov Swithcing GARC...
- Thu Sep 06, 2012 10:52 pm
- Forum: Structural Breaks and Switching Models
- Topic: Why are there so many observations skipped?
- Replies: 3
- Views: 7666
Why are there so many observations skipped?
Hello, I tried to amend the RATS codes that replicates the GARCH_DF model used by Dueker(1997) in "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility" pubilsed in Journal of Business and Econoic Statistics. I wanted to add a lagged depedent variable in the mean ...