The RATS Software Forum

Is that a typo? Do you mean ITERS=50 or ITERS=500? If the former, there is no reason to cut down on the number of main iterations---if it converges quicker than the default 200, that's great. The only reason we put a limit on ITERS is so it won't run for hours getting nowhere if the model has probl...

No, probably fewer if anything. It's usually best to start small with the mean model and add lags only if the serial correlation diagnostics come back significant. Okay perfect, thanks a lot. One final question, among the last part of the code for the GARCH model ("ROBUSTERRORS,PMETHOD=SIMPLEX...

A lot of the mean model coefficients are insignificant, but that's not unexpected if you do a 4 lag VAR. With 6000+ data points, it's not like the model is going to suffer much from having 18 mean parameters. If you're talking about the GARCH coefficients, if the two variance processes don't have m...

Dear elisabettac, I am new to RATS and investigating volatility spillovers between different financial markets. I wanted to know how you have treated non-trading days in one market due to a national holiday while the other market is open. I looked at your dataset in the attached file and saw that s...

Hi, I am trying to estimate an asymmetric bivariate GARCH-BEKK model with as mean equation a VAR(4). I run the code posted below on with the dataset attached (they are log returns*100 of price series of stock indices), but the majority of the coefficients estimated are not significant. Can somebody ...

TomDoan wrote:That was a reference to an Enders 3rd edition example. In the fourth, the similar example is enders4p158.rpf.

Hi Tom, thanks a lot for your help.
I think i am a bit confused, after I import my time series of returns, which part of the code should i refer to for the test?

Many thanks

See the endersp158.rpf example in the Enders textbook examples. Hi Tom, I am trying to test if there is asymmetric response in the volatility of the stock returns I am considering. I could not find the file you mentioned in this post, could you help me find an example of a program I can use for suc...

Is this their dataset or is this your attempt to reconstruct their data set? This data file includes weekends. This is my attempt to reconstruct the data. Attached I also send the version with returns over weekdays only (tab 5), which still does not yield the same results as in the paper. Thank you

You would have to attach the data set (and the full program would be helpful as well). Thank you. This is the full program: OPEN DATA "/Users/E/Desktop/DATA (SP500 TOPIX JAKARTA).xlsx" CALENDAR(7) 1993:1:1 DATA(FORMAT=XLSX,ORG=COLUMNS,SHEET="RETURNS") 1993:01:01 2012:12:31 SP500...

It sounds like you are missing the dynamics in the mean model---they're using a 4 lag VAR, which is very important in this case because of the timing of the different markets. You can do that with the wizard by putting in the lags (in addition to the CONSTANT) into the Mean Model Variables, though ...

Hi all, I am trying to replicate in RATS the model adopted by Li and Giles in their paper " Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets " to estimate volatility spillovers between three different markets. I am using their same dat...