The RATS Software Forum

That's the output from a model done with MV=VECH. Don't do that. Use one of the more standard MV options. Have you gotten the model to converge without the "M" terms? I tried to estimate the model without the terms "M", the model does not converge. by cons if I use mv = Bekk the...

This does a 1 lag VAR with both variances in the mean model. This does the default DVECH multivariate GARCH model. You'll have to decide what the appropriate MV-GARCH model is for the data. dec symm[series] hhs(2,2) clear(zeros) hhs * system(model=vargarchm) variables DLBMGR10Y_RI DLBMFR10Y_RI lags...

Hi Tom en utilisant la specification BEKK dans GARCH on aboutit à la convergence. comment interpreter ce resultat issu de VAR? F-Tests, Dependent Variable DLBMGR10Y_RI Variable F-Statistic Signif ******************************************************* DLBMGR10Y_RI 132.7475 0.0000000 DLBMIR10Y_RI 3.7...

This does a 1 lag VAR with both variances in the mean model. This does the default DVECH multivariate GARCH model. You'll have to decide what the appropriate MV-GARCH model is for the data. dec symm[series] hhs(2,2) clear(zeros) hhs * system(model=vargarchm) variables DLBMGR10Y_RI DLBMFR10Y_RI lags...

Hi Tom

Sorry for the error sending message. I want to add the two variances in each equation .

once again thank you for your understanding.

it's data yields (RI is the return index)

Is that you have an idea how intoduire the conditional variance in the estimation of a VAR?

hi Tom Thank you for your explanation. I confirm that I have had a course in literature on multivariate GARCH model. I have a porbleme convergence in code brooks. When I run the program, it shows me in the output window that the matrix is not invertible. linreg DLBMGR10Y_RI / r1s # constant compute ...

If you're doing two stock markets, you would not want to use this model the way it's set up, since GDP is treated quite differently from the oil price variable (it has a very weak GARCH effect and the M effects are assumed to run only from oil to GDP). The "structural VAR" part is also ba...

hello Tom I am trying to make a study of contagion between different stock market. I plan to use a VAR GARCH-M model. the methodology Elder Sender and the uncertainty of oil price responds to the methodology that I want to follow my questions are: 1 - what is the parameter that measures the effect o...