The RATS Software Forum

Hmm. Thanks a lot for your help Tom. I was playing around with a DBEKK model to study the volatility spillovers between these markets and found evidence of either uni-directional (SP to Middle East) or no spillovers. I know the models are different and I'd have to alter the framing of the research s...

TomDoan wrote:You would have to post your data.

Hello Tom,

Please find the data attached. I am trying to measure the correlations between SP (S&P 500) and the other indices. Your help would be greatly appreciated

To answer the last question first, the process for getting correlations is the same for any type of multivariate GARCH model. See https://estima.com/docs/RATS%209%20Users%20Guide.pdf#page=328 Since you haven't gotten the model to converge, the second really can't be answered. However, note that B=1...

Hi I am still unable to resolve this. Could anyone help please?

Hello, I am new to RATS and so far I am finding it pretty nice compared to other software I have used. I have three questions regarding DCC-GARCH and would be more than grateful for any help. First, when estimating the model on some equity returns, I believe the estimation is getting stuck in a non-...

Hello Tom, Thank you for your prompt response. I have already tried putting a space but I am getting the same error: dec vect[series] sept92virf(3) do i=1,3 set sept92virf(i) 1 nstep = 0.0 ## SX22. Expected Type INTEGER, Got REAL Instead >>>>t92virf(i) 1 nstep <<<< The above is literally copied and ...

Hello, This is my first time using RATS so please excuse what I think is a very simple question. I am currently trying to follow the VIRF manual attached. Everything works up until the point where I enter: dec vect[series] sept92virf(3) do i=1,3 set sept92virf(i) 1 nstep=0.0 I keep getting the error...