The RATS Software Forum

Dear Sir,

Thanks a lot for your reply.

With sincere regards,
Upananda

Dear Sir,

Thank you very much for your reply. I have attached the data set for your reference.

With sincere regards,
Upananda Pani

Dear Sir, I am trying run a multi variate garch model between mcx comex silver spot price. I got the following result. Would you please guide me on the following results? Statistics on Series RMCX Observations 16 Sample Mean 0.217507 Variance 5.936588 Standard Error 2.436511 SE of Sample Mean 0.6091...

Dear All, I would like to read my data using the following code. DATA(FORMAT=XLSX,ORG=COLUMNS) 2005:01:07 2021:10:01 MCX COMEX SPOT * set rmcx = 100.0*log(mcx/mcx{1}) set rcomex = 100.0*log(comex/comex{1}) set rspot = 100.0*log(spot/spot{1}) After calculating the return series, how drop the first ob...

Dear Sir, Thanks for your reply. I have modified the variable name. The code follows. set lagrsp = rsp{1} system(model=var1) variables lfp lagrsp lags 1 end(system) ***BEKK*** GARCH(P=1,Q=1, model= var1,mv=bekk, dist=t, robusterrors, pmethod=simplex, piters=20, $ method=bfgs, iters=500, rvectors=rd,...

Hi All, I would like to estimate BEKK VAR (1) model and save the residuals. I just tried look in to the forum and found some post relevant in my context. I am using the following OPEN DATA "C:\Users\DELL\Documents\Estimation\gold.xlsx" DATA(FORMAT=XLSX,ORG=COLUMNS,julian=Date) 1 3484 FP1 S...

Dear Sir,

Without Estima, my understanding of time series would have been incomplete.

With regards,
UPANANDA

Dear All, I am trying to replicate Example 5.3 GARCH course material. I want to summarize VECH coeffcients for a bivariate model in the code. summarize(title="(1,1) on (1,1)") %beta(10)ˆ2 summarize(title="(1,2) on (1,1)") %beta(10)*%beta(13)*2.0 summarize(title="(2,2) on (1,...

Dear Sir,

The paper replication is for three variables. I want to implement for a bivariate case.

Regards,
Upananda

Dear All,

I would like to know how to implement the code for Granger (1995) "Estimation of common long memory components in
cointegrated systems", Journal of Business & Economic Statistics for a bivariate case.

With regards,
Upananda Pani

Dear Sir, Thanks a lot for clarifying my doubt. Similarly in the second equation Linear Regression - Estimation by Least Squares Dependent Variable DLSP Weekly Data From 1959:01:16 To 1972:11:17 Usable Observations 723 Degrees of Freedom 714 Centered R^2 0.1189251 R-Bar^2 0.1090531 Uncentered R^2 0....

Sir, In the first equation results Test for Spot Price causing Future Price Null Hypothesis : The Following Coefficients Are Zero Z Lag(s) 1 DLSP Lag(s) 1 to 4 F(5,714)= 2.37598 with Significance Level 0.03753272 Test for Spot Price long-run causing Future Price Null Hypothesis : The Following Coeff...

Dear All, I am estimating the VECM with spot and future price. I am using vecmcause.rpf function to estimate this. *VECM Short-run Causality and Long-run Causality @johmle(lags=5,det=rc,cv=cv) # LFP LSP LINREG DLFP # Z{1} DLFP{1 to 4} DLSP{1 to 4} set z = LFP-LSP linreg dlfp # z{1} dlfp{1 to 4} dlsp...

Dear Sir,

Thanks a lot for your help. Yes, I have changed the data because of missing observations. As some of the last trading day of the week falls on holiday, i have shifted the day to the previous trading day of the week. As per your suggestions i will proceed.

Regards,
Upananda

Dear All, I want to read weakly time series trading data with irregular dates as some of the last closing dates of the week is holiday. I have 52 weeks per year. My data spans over 2006-2019. OPEN DATA "C:\Users\DELL\Desktop\crude.xlsx" CALENDAR(PPY=52) 2006:1 DATA(FORMAT=XLSX,ORG=COLUMNS)...