The RATS Software Forum

Tom wrote: I'm confused about why you think a panel GARCH model is the best base model for what you're doing. The panel GARCH is a very tightly parameterized variant on the DVEC GARCH model. sir i want to write a code at the moment for this estimation. further testing will show the suitability of P...

Ok sir let me explain you what i want to do so that we can come on same line... Suppose there are 3 banks... A, B, C... there is one variable 1 of each bank... means A1, B1 and C1 Now we used this in Mean equation with its lags etc... Now in Variance equation: There is a variable 2 of every bank i.e...

What exactly are your DUMANN variables? They sound like they're dummies of some form. Are they different for different banks? Yes these are dummies and are different for different banks. although these are dummies in this case but i want to add real variables later in my paper. and those will be di...

Dear Tom, let me first show you code i have generalized for 4 firms from 3. code with 3 were given on link you mentioned here (thanks for that). I edited the code for 4 firms. and also entered the Xit variable in variance equation. Have a look at it: OPEN DATA "C:\Users\SuhRiz\Desktop\short sal...

Hello I am new to this forum. also i am new to RATS. after working few days with manuals etc i got an idea about RATS. I want to do Panel GARCH estimation. I got a code from this forum and generalize it for my number of cross sections. now what i want to include a variable (in panel form) in varianc...