The RATS Software Forum

Hi Tom,

sorry to bother you again.. how do i do the robustness test for DCC-GARCH using the previous code you provide?


thank you very much in advance.

HI Tom, I've another question. how do i apply the ljung box in my data? is it ok if i just use : garch(model=mod6,mv=dcc,hmatrices=hh,rvectors=rd) / y set z1 = rd(t)(1)/sqrt(hh(t)(1,1)) set z2 = rd(t)(2)/sqrt(hh(t)(2,2)) set z3 = rd(t)(3)/sqrt(hh(t)(3,3)) set z4 = rd(t)(4)/sqrt(hh(t)(4,4)) set z5 = ...

oh ya..


thanks Tom.

Hi,
i would like to know how can I include the auto regressive equation for mean equation in DCC?

Thank In advance.

Hi thank you so much for your help.. its help a lot.

I have another questions.

from the program, how to Compute the covariance matrix of the standardized residuals? and plot out the graph?

hi,

Here is the data and the program.

I run the code you suggest..the mean result is what i wanted earlier. However, the result doesn't seem right. the DCC(2)= 0.0000. such as below: MV-GARCH, DCC - Estimation by BFGS Convergence in 82 Iterations. Final criterion was 0.0000099 <= 0.0000100 Daily(5) Data From 1993:01:05 To 1996:12:31 Usa...

Thank you so much for your help. 1)Let say If i want to use the two step estimation. Is it possible? 2)If its not possible, let say I want to compute the correlation matrix from the code you suggest. how can it be done? the result that i'm trying to achieve is almost similar to the estimation of thi...

hi, I'm Using rats code for two step estimation DCC-GARCH. how and where should i to compute a mean equation r_t=μ+γ_1 r_(t-1)+γ_2 r_(t-1)^us+ε_t let say if i want to see the DCC-GARCH for US VS ASEAN country.. below are code. * OPEN DATA "C:\Users\user\Desktop\msci rats.xls" CALENDAR(D) 1...