The RATS Software Forum

Hi Tom, Yes, it looks like I am not using squared residuals. But I am following P. Molnar "High-low range in GARCH models of stock return volatility, where I am introducing Parkinson estimators to conditional variance equations as exogenous variables instead. Is there any Rats programs for GARC...

Hi, I have been studing many different statistic packages and so far I didn't find any which could solve my problem. That's why I decided to write on this forum. I am trying to estimate univariate GARCH(4,0) model with 4 exogenous variables as below: Mean equation: X=0 Conditional equation: h= const...

Dear Tom, I have a question for you. From some time I am trying to find a software with could help me estimate VAR-CCC model with a couple of modifications. Generally, I am basing on article "VOLATILITY TRANSMISSION FOR CROSS LISTED FIRMS AND THE ROLE OF INTERNATIONAL EXPOSURE" written by ...