The RATS Software Forum

Dear Tom, Many thanks for your prompt reply. The main purpose of our analysis is to investigate volatility properties in the returns of a time series representing a portfolio made up of the U.S, and Emerging stock markets (EQWP_returns) We would like to examine whether volatility of the EQWP_returns...

Hello, I am investigating the effect of a number of macroeconomic indicators on the volatility of stock market returns. I would like to use a SWARCH model and wonder if you could clarify the following: 1) is it possible to use the SWARCH command and options to add the some macroeconomics regressors ...