The RATS Software Forum

Dear Tom, I conduct a repeated analysis for several dates (around 100). The output of each analysis are nine distinct series. I would like to do either one of the following two tasks within a loop, which iterates over all dates: 1. for each iteration I want to export all nine series to an xls or xls...

Dear Tom, I have a question related to the identification of the shocks within an VIRF analysis as in Hafner and Herwatz (2006). As far as I understand it correctly, the shocks have to be independent and non-normal to be unique. If these two conditions have to be met, in addition to a non-normality ...

Thanks Tom, But what I actually meant was a reference related to the derivation of the one step likelihood itself. Is this written down in the original paper? I am struggling to find a comprehensive summary of the formulas, as everywhere solely the two step approach is described. Thank you very much...

Dear Tom,

I wonder if you could give me a reference on how the full information maximum likelihood estimation of the DCC GARCH model works?

Best

Jules

Dear Tom, I have a more conceptual question related to the estimation of DCC-GARCH models. How is the joint covariance matrix of the parameter estimates (given by %xx) determined/estimated? From my understanding there is a univariate GARCH model for each series in the first step and in the second st...

Thanks,

that means that running the bootstrap tests as in Balke (2000) is going to be difficult. Do you thing the distortion from using var=hetero in the bootstrap is large?
Another question: why using sur rather thsn estimate?

Best

Jules

Dear Tom, again I have a follow up question on the near-T-VAR. You said that I have to use SUR on different subsamples and then add the %logls. 1) How would I define the subsamples. For SUR there does not exist the convenient GROUP function. How can I use the SMPL option on SUR to get estimation for...

Thanks! I have a followup question: I estimated a model and used in the ESTIMATE instruction the SMPL option with a dummy variable to estimate the model for some regime specific periods, then I replaced the first equation of the model with some other equation: estimate(print,smpl=dup,model=sur,title...

Dear Tom,

after I have replaced an equation in a model with the %modelpoke() function, how do I get the resulting covariance matrix of that model
?


Thanks

Jules

You are right... I totally oversaw that for the draw the "blast" is fixed at the ml estimates.... The "blast " shifts the draw from %ranmvt towards a mean which corresponds to the ml estimates. Otherwise it would be always a zero mean draw, right?

Best

Jules

Dear Tom, i have another question regarding the implementation of independence chain MH for the MV GARCH. I wanted to use codeparts of the ARMAGIBBS.RPF, as it is also doing IC-MH. Given that the draws are done with compute btest=blast+%ranmvt(fxx,nuxx) (adjusted for the example above) it looks to m...

Dear Tom, I have two questions regarding MCMC estimation of the BEKK model: 1) I went through the MCMC code for the DCC-GARCH. Wouldn't it be possible to estimate a BEKK model with the similar procedure? I start with the ML estimates, then I generate candidate draws with the t-distribution and evalu...

Dear Tom,

I am a bit confused about the use of the mvqstat procedure. Lets say I have two return series and estmate a GARCH-BEKK(1,1), where the mean equation would be a bivariate VAR(3). Would the corret DFC be 3 (lag-length) or 2*2*3 (#-of total lag coefficients)?

Best

Jules

Dear Tom,

regarding your suggestion above. I had a quick look at the table of contents of the volatility E-course. Does it provide an example of an MCMC estimator for GARCH-BEKK models? I couldn't find that.
If it doesn't, is there some RATS code available?

Best

Jules

Dear Tom,

regarding confidence bands for VIRFs, does the 2nd edition of the GARCH course contain a method to derive them?
I saw that there is a chapter on simulating VIRFs. Could this be used?

Best

Jules