The RATS Software Forum

Thanks Tom! After a while I realized I hadn't put the statistics instruction a d this solved my problem. However, the problem with different time ranges remains. A very stupid question: how do you use the procedure files such as @histogram? Do you simply copy and replace x with your own variable nam...

I ran the code again as I hadn't saved the code.
Now I am getting the same error message again whereas before it was giving me the graph!

Hello, I'm trying to draw the histogram of a series BOA, graphs it as a bar graph, overlay it with the normal density with the sample mean and variance, and display the mean, standard deviation, skewness and kurtosis in the upper right corner. I have used the following code: density(maxgrid=50,type=...

Wow! This is absolutely amazing! Thanks for correcting it.

One last thing, if I want to multiply the bekk-garch output I've obtained to give the three variance equations, what code should I use?

It's a tough model to discuss.

In my asymmetric BEKK GARCH model, if a12 is insignificant and b12 is significant, what could be the financial interpretation? Volatility persistence without spillovers?

Thank you Tom. One more question, if in an asymmetric VAR-BEKK-GARCH (1,1), A12 is negative, B12 is positive, and D12 is positive too, what explanation might one give? I know you have mentioned that its not easy to interpret these but I'm actually stuck as to what financial interpretation to give. D...

Dear Tom, What is the code for a WALD test for joint hypothesis is equal to zero. For example,if I want to test the hypotheis in VAR-BEKK-GARCH model that a12 = b 12 = 0, what would be the code for the WALD test. Also, is RATS able to identify structural breaks in financial time series using Bai and...

Usually a low order VAR. If that doesn't work, it usually means that you have a major structural break and can't really fit a standard GARCH model across the whole sample. Tom, is it possible to estimate a structural VAR-BEKK-GARCH model is RATS? And perform the tests for detecting structural breaks?

Thanks a lot Tom! I used weekly returns instead of daily and that also helped in correcting this to a large extent.

If I'm testing spillovers from the return series of a bank's stock to a financial market, then a significant D12 means that negative shocks from the bank to the financial market will increase volatility more.
Also, what does a negative, significant D12 indicate?

How do I handle the serial correlation in the mean model?

TomDoan wrote: That was how you computed jointly standardized residuals before the STDRESIDS option was added.

So no need for this now right?

Also how to export everything to Word or Excel?

Thanks.

Hi Tom, I have several questions. Is there are a way to obtain the three variance equations that I have posted earlier through RATS? Also, I have seen people posting this command for multivariate diagnostics: dec vect[series] zu(%nvar) do time=%regstart(),%regend() compute %pt(zu,time,%solve(%decomp...

Also, am I right in assuming that in RATS, the asymmetric term in the Asym BEKK-GARCH models capture the positive shocks instead of the negative ones? So, a significant D12 would then indicate that positive news has a greater impact on volatility from series i to series j than negative news does?