The RATS Software Forum

Hi Tom, What is the reason behind getting a negative arch coefficient and how to solve it in CC-GARCH model? MV-CC GARCH - Estimation by BFGS Convergence in 46 Iterations. Final criterion was 0.0000004 <= 0.0000100 Daily(5) Data From 2007:11:15 To 2015:04:24 Usable Observations 1942 Log Likelihood -...

Got it now.

Thank you very much Tom.

Thank you very much Tom.

I got confused because I was reading the following attached paper. On page 279, in the notes of the table. They got roots that are greater than 1.

Many thanks for your clarification. That was helpful.

Many thanks for your prompt reply.

I have used the posted code and got the following:

Eigenvalues from BEKK-t (0.965,0.000) (0.948,0.000) (0.941,0.000) (0.921,0.000) (0.905,0.000) (0.889,0.000)

Do these results mean that the model is not stationary?

Hi, I am applying VAR(1)-GARCH(1,1) model using the following code: system(model=var1) variables RUSRet GOLDRET WTIRet lags 1 det constant end(system) garch(p=1,q=1,model=var1,mv=BEKK,asymmetric,pmethod=simplex,piters=10,rseries=rs,mvhseries=hhs,$ stdresids=zu,derives=dd) @mvqstat(lags=15) # zu @mva...