Search found 3 matches
- Mon Jun 16, 2014 7:22 pm
- Forum: ARCH and GARCH Models
- Topic: MV-EGARCH with spillovers
- Replies: 57
- Views: 69853
Re: MV-EGARCH with spillovers
Hi tom, I am using RATS 8.2, and trying to run the multivariate E-GARCH models propose by Koutmos. However i receive following error. "## CP18. ADTEST is not the Name of a PROCEDURE. (Did you forget to SOURCE?) " I will be really thankful for your help. Further i want to include an exogeno...
- Wed May 14, 2014 5:34 pm
- Forum: ARCH and GARCH Models
- Topic: MV-EGARCH with spillovers
- Replies: 57
- Views: 69853
Re: MV-EGARCH with spillovers
Thanks Tom, I will use the new one.
I am using monthly data, what should be the minimum observation should be enough to run MV-EGARCH model.
Thanks
I am using monthly data, what should be the minimum observation should be enough to run MV-EGARCH model.
Thanks
- Tue May 13, 2014 8:28 pm
- Forum: ARCH and GARCH Models
- Topic: MV-EGARCH with spillovers
- Replies: 57
- Views: 69853
Re: MV-EGARCH with spillovers
Dear Tom, I am quite new to RATS and Running the MV-EGARCH with 3 markets By Koutmos G. (1995) Asymmetric volatility transmission in international stock markets, Journal of International Money and Finance. I have the following questions: Ist is that with the 3 markets the codes run and i have the re...