Dear TomDoan
Thank you very much for your reply.
Best regards,
h2do
Search found 3 matches
- Wed Sep 21, 2016 11:51 pm
- Forum: ARCH and GARCH Models
- Topic: VARMA-GARCH-BEKK. no convergence in Rats 9.1
- Replies: 4
- Views: 7925
- Tue Sep 20, 2016 9:50 pm
- Forum: ARCH and GARCH Models
- Topic: VARMA-GARCH-BEKK. no convergence in Rats 9.1
- Replies: 4
- Views: 7925
Re: VARMA-GARCH-BEKK. no convergence in Rats 9.1
Dear Tom Thank you very much for your prompt response and advice. I'd like to eliminate autocorrelation in residual at 5% up to lag 5 so I add some AR and MA terms that could make overparameterization. Could you please suggest how could I fix the mean model? In addition, I ran the same model for ano...
- Thu Sep 15, 2016 11:30 pm
- Forum: ARCH and GARCH Models
- Topic: VARMA-GARCH-BEKK. no convergence in Rats 9.1
- Replies: 4
- Views: 7925
VARMA-GARCH-BEKK. no convergence in Rats 9.1
Dear Tom Previously, I used Rats 8.3 and I had a convergence but no-convergence in the Rats 9.1. Could you please explain and help to get a convergence? In addition, in other estimations, estimates from these two versions are little bit different. Why is the case? * VARMA-MGARCH-asymmetry BEKK model...