The RATS Software Forum

yes...you are right.. i ll check that again.
thank you sooo much!!

Dear Tom, i have completed a bekk model for 2 countries, using 297 observations for each series, on first differences. I got the following results: MV-GARCH, BEKK - Estimation by BFGS Convergence in 7 Iterations. Final criterion was 0.0000049 <= 0.0000100 Monthly Data From 1991:02 To 2015:09 Usable ...

thank you very much
I ll take that into consideration and try to find more years.
Thank you for your advices

i am sorry not to mention that..i transformed them into ldifference

these are the data

yes i tested that and found out that garch effect exists in univariate garch for each country

monthly data from 2006/01 - 2014/02 for 4 countries (98 observations for each country)

i did the cointegration for the 4 countries and johansen showed 2 cointegrated vectors but Max-eigenvalue test indicated no cointegration. The ecm model gave me the following results Vector Error Correction Estimates Included observations: 95 after adjustments Standard errors in ( ) & t-statisti...

i completed the cointegration and found out that ger-uki: 1 cointegrating vector,ger-fra: 2 cointegrating vectors, ger-ita:2 cointegrationg vectors, fra-ita:2 coint.vect, fra-uki:2 coint. vec, ita-uki:2 coint vec

You mean that i have to also write set ect1 = 100*log(fra/ger) set ect2 = 100*log(ger/ita) set ect3 = 100*log(ita/uki) set ect4 = 100*log (fra/ita) set ect5 = 100*log (fra/uki) set ect6 = 100*log (ger/uki) in order to have the equation meaneq * # constant y(1){1} y(2){1} y(3){1} y(4){1} ect1{1} ect2...

Dear Tom,
i follow Koutmos code to estimate the spillover among 4 countries but instead of a var - egarch model i have to estimate an ecm multvariate egarch model.
What should i add in this code so as to estimate the ecm-mv-egarch ?

Thank you very much

Thank you very much.
I will take a carefull look again at the code.

Thank you for your reply. After i insert the data i copy the Koutmos' code - which i have changed according to my data, but there is no response. So i thought maybe the data where not inserted correctly. Also, i saved the rats when inserting the data and closed the programme but when i reopened it, ...

Dear Mr. Tom, i am a new user of the rats programme and i am trying to employ the egarch spillover according to the Koutmos' code you have attached at another discussion. I am trying without result to insert the data into the rats from an excel sheet. The data are monthly and i follow the routine: d...