The RATS Software Forum

Hi Tom, I've updated the code you provided to replicate De Santis and Gerald (1998). For the variance model, they've used a parsimonious setting as below, Ht=H0*（ll'-aa'-bb'）+aa'*et-1*e't-1+bb'*Ht-1, the code is, frml hf = cc.*(l*tr(l)-a*tr(a)-b*tr(b))+(a*tr(a)).*uu{1}+(b*tr(b)).*h{1} where h is the...

Hi Tom, I use "display h" after MAXIMIZE instruction to print the covariance matrix, and I get a series of lower triangle matrix. Are these series of matrices the estimated covariances? Since I've declared h to be symm, why the displayed matrices are lower triangular? I've used "%xcol...

Hi Tom,

I've found the code under "Cappiello, Engle, Sheppard(2006) DCC GARCH models". https://estima.com/forum/viewtopic.php? ... c+maximize
Thanks.

Felix

Hi Tom, The last section of the code use Simple DVEC GARCH(1,1) model for the variance, do you have the code for DCC GARCH(1,1) using MAXIMIZE ? Thanks. Felix You can't use GARCH to do that---you would have to set up the GARCH model for estimation using MAXIMIZE. This is an older example of a GARCH ...

Thank you Tom! This is very helpful. I'm a new user of RATS and I find this Forum is amazing. Felix You can't use GARCH to do that---you would have to set up the GARCH model for estimation using MAXIMIZE. This is an older example of a GARCH model with M terms done using MAXIMIZE. This wouldn't be ne...

Dear Tom, Here's Felix. I'm trying to estimate a pricing model using multivariate GARCH-in-Mean, and I want to restrict the coefficients to be the same across the three mean equations. How can I adjust the below code to achieve this? Thanks. dec symm[series] hhs(3,3) clear(zeros) hhs *******Define T...