The RATS Software Forum

Dear Tom. I am not able to extract alpha. When I am writing the code as garch(model=vecm,mv=bekk,hmatrices=h, MVHSERIES=bekkHmatrix, rvectors=r,pmethod=simplex,piters=5,method=bfgs,iters=400) compute vecmco=%modelgetcoeffs(vecm) compute alpha=tr(%xrow(vecmco,8)) compute alphaperp=%perp(alpha) print ...

Hi Tom, I am able to fetch alpha's from this code. Please help me I used the following command set retspot = log(spot)-log(spot{1}) set retfutures = log(futures)-log(futures{1}) set ect = log(futures)-log(spot) system(model=vecm) variables retspot retfutures lags 1 to 3 det constant ect{1} end(syste...