The RATS Software Forum

Thanks for your quick reply, Tom Could I ask some further questions? What is the appropriate lags for the univariate diagnostics? Is 10 suitable? Can I just rely on the results of univariate diagnostics to say my estimated model is adequate if the test result is not significant? Or we must do both u...

Dear Tom, I have just estimated a BEKK-GARCH model with the mean model VAR(1) and did diagnostic test to see whether the model is adequate. I did both "univariate" diagnostic and multivariate diagnostic follow the RATS' User Guide. Here is my diagnostic result: MV-GARCH, BEKK - Estimation ...