The RATS Software Forum

Dear Tom, I am trying to do a LDL' cholesky decomposition of a covariance matrix in RATS. As you have mentioned in one of the previous posts that the L matrix can be computed by doing the Cholesky factor of the covariance matrix and dividing each column by its diagonal element. But I am unable to ge...

Hi, I am looking for a code for mean variance spanning test. This test was first proposed by Huberman & Kandel (1987) and recently Kan(2012) in his paper "Tests of Mean-Variance Spanning" has introduced spanning test based on GMM. Mean Variance spanning is a multivariate regression bas...

Hi Tom,

Is it possible to forecast the DBEKK garch using mvgarchfore ?

Thanks

I have tried a code on a small sample of 20 one step ahead forecast for the covariance and It is giving me a rolling forecast of the covariances. Just wanted to confirm with you if this is correct. OPEN DATA "C:\Users\Desktop\123.xlsx" CALENDAR(D) 1999:1:4 DATA(FORMAT=XLSX,ORG=COLUMNS) 199...

Thanks. I have gone through the garchbacktest.rpf example. As per this example, I need to calculate the one step forecast for the covariance matrices and save it in a matrix. I have few questions. 1)In the garchbacktest.rpf example, it gives me a single value of hhat when i use the command "dis...

So basically, for every estimation in the rolling window, the cov matrix is saved under hh and based on this covariance matrix @mvgarchforw will forecast one step ahead forecast of the cov and save it in hh matrix. For example, for the very first estimation window, it will estimate the cov based on ...

I updated my code as source mvgarchfore.src compute d = 500 do gend = 2000:12:05, 2008:12:31 garch(p=1,q=1,mv=bekk,hmatrices=hh,rvector=rr,noprint) gend-d+1 gend fret cret @MVGarchFore(MV=BEKK,steps=1) hh rr set cov 2000:12:05 2008:12:31 = hh(gend+1)(1,2) end do But it gives me a same value in the s...

I have estimated the bekk in rolling window of 500 as per the below code. OPEN DATA "C:\Users\Desktop\123.xlsx" CALENDAR(D) 1999:1:4 DATA(FORMAT=XLSX,ORG=COLUMNS) 1999:01:04 2008:12:31 FL FO FH FLO CL CO CH CLO set fret = 100*(log(fl)-log(fl{1})) set cret = 100*(log(cl)-log(cl{1})) source ...

But as per the UG it is not possible to forecast the dcc garch using mvgarchfore. In that case, how to proceed.

That's what I am looking for, a estimations of mvgarch models in rolling window and one day ahead forecast of the var-covar matrix. I found one example of univariate garch estimation in rolling window but unable to find for mvgarch.

Dear Tom,

Is is possible to forecast the MVGARCH(specifically DCC and BEKK) using rolling forecast? The @MVGARCHFORE does the out of sample forecasting using full sample estimation.

Thanks

I think I am not very clear in my questions. Really sorry for that. Please have a look at the methodology section in the paper mentioned in the article and also look at my code. I was trying to code this hybrid ewma model. There are three steps involved. In step one the range based variances are est...

Rolling samples are covered in the User's Guide. However, you don't need rolling samples with EWMA . If you aren't convinced, take .94^500 to see what the weight is on the data point that would be going out of the window if you slide the sample. I didn't get this point. Please explain. Just do the ...

Thanks. Just One question. Can you please help me to code a loop which will estimate the EWMA for the series with a moving window of 500 observations. Example it first calculate the ewma from 1 to first 500 points and then move to 2nd observation to 501 point and estimate the ewma and save and so on...

The reason I asked this becasue CARR and GARCH both are used for volatility forecasting. Like GARCH, the CARR also forecast the volatility as range is an estimator of the std deviation. So can I use the garchfore.src for forecasting purpose?