The RATS Software Forum

Thank you for the reply. Do you know if there is any document where the shocks and volatilities are discussed that I can make reference to? Based on the explanations you have given about shocks and volatilities, do the results of a model make any sense if the shocks are significant but the volatilit...

Dear Tom, In your replies to my questions about the shocks and volatilities of the BEKK model, you mentioned that the parameters of the BEKK model don't have any individual interpretations because the relationship between the parameters are complicated and non-linear. However, I am writing a dissert...

Thank you so much for all the explanations.

Many thanks for the reply. Can you give me a brief description of what parts of the spillover are the A and the G?
Thank you

Hi Tom, In the BEKK model, my understanding of the A and G matrices is that the elements of matrix A measure the shock spillovers whilst the elements of matrix G measure the volatility spillovers. If this is correct, I want to know what is the difference between shocks and volatilities when examinin...

I will try to be as clear as I can. First of all, I am estimating volatility spillover effects but I am treating a certain variable as exogenous which is why I am using the TBEKK in the first place (although I have also applied the full BEKK for comparison purposes). The issue I am confronted with i...

Thanks for the reply. So just be very sure, the mean equation of the TBEKK model can be estimated using the standard VAR without any restriction just like the VAR in the full BEKK model, is this correct?

Dear Tom, I am estimating a TBEKK model and as you know, the variance equation is a lower triangular matrix because the coefficients of the upper diagonal are restricted. To estimate the mean equation therefore, I also estimated a restricted VAR with a lower triangular matrix so that the mean equati...

Dear Tom, I have estimated a triangular BEKK model to compare the results with the full BEKK in my dissertation using the RATS software program. However, I am looking for a paper that used the triangular BEKK in any previous study so that I can use that as a precedence. So far, I have found several ...

Dear Tom,
Thank you for the reply. I am looking for the formula that expresses the triangular BEKK model. The formula for the full BEKK model is in the user's guide as you said, but the triangular BEKK model is not expressed in a formula form in the user's guide.
Thank you

Hi Tom, I have estimated BEKK and Triangular BEKK models for a study and I have obtained some results. However, I need to find the notes that explain these models in detail so that I can write the methodology of the study with the help of the notes. I have checked through the RATS user's guide but c...

I am using log returns. Do you mean multiplying the log returns by 100 is better?

Thank you. The DVECH seems to produce the expected results and it also passes all diagnostic tests. However, the model doesn't converge even after several iterations. Do you know what I can do in order to achieve convergence of the DVECH model?
Thank you

Thank you for the reply. I am considering a DVECH model. So is it okay for me to use the DVECH because as you stated, the problems associated with the DVCEH won't happen in practice?
Thank you

Hi Tom, I have estimated a GARCH BEKK model and the model did not pass some diagnostic tests. However, when I estimated the VECH version of the model, the model passed all the diagnostic tests. My only concern is that as it is stated in the notes, the VECH model does not guarantee positive definiten...