The RATS Software Forum

Yes, in the first years it is a thinly traded market. It becomes way "better" in the later years. My idea is to delete the zero returns as a robustness check, but I do not know whether this is a valid procedure since I randomly change the distances between the observations. I tried weekly ...

I use spot and futures prices. The prices are I(1) and cointegrated. There should thus exist a corresponding VECM model. Yes, some of the zero returns are consecutive.

Hi Tom, thanks for the helpful reply! I did all the diagnostics and the model seems robust. However, I realized that one of the time series contains a rather large amount of zeros (appr. 20%), thus no movement. Might this cause the "ugly" behavior of the standard errors or does this only a...

I estimated a bivariate VECM - DCC - GARCH model by assuming a t-distribution of the residuals. However, none of the error correction terms is statistically significant, although my cointegration tests (Engle-Granger, Johansen) indicate that the chosen time series are cointegrated. When I estimate t...

Based on the code found at "http://www.estima.com/procs/GARCHMV.PRG" I programmed a bivariate VECM DCC GARCH model with a multivariate t distribution. Although it works well and its parameters are in an adequate range, I still have a question regarding the standardization of the residuals ...