The RATS Software Forum

Dear Tom, Thank you for your reply. Do you mean, in the case of mu2009x2, @MCGraphIRF(model=varmodel,varlabels=vl,shocklabels=sl,$ page=byshock,center=median,columns=2,include=||1,2,10,4,6,8,3,9,5,7||) replace to: @MCPROCESSIRF(model=varmodel,varlabels=vl,shocklabels=sl,$ page=byshock,center=median,...

Dear Tom,
May I know how to obtain the (values) of impulse responses and the error bands in the form of a table, not in the form of the graphs as displayed after running the code in mu2009x2 ?

Thank you

Pascal

Dear Tom,
Thank you for your reply.
Yes. The DCC alpha in my estimation is slightly negative. I will try to use other models.
I am appreciated with your help.
Many thanks

I am estimating the DCC model with financial data. However, I obtained a negative alpha in the second stage of DCC estimation. Is it wrong? Does it violate the positive definiteness of DCC model? Is it right if I adjust the initial value of alpha and beta in order to fix this problem? If not, how ca...

Dear Tom,
Thank you for your kindly help.
Many thanks.
Pascal

Hi Tom, The problem "A memory request for an additional 199148820 bytes cannot be satisfied" has been solved. Thank you for your help. May I know how should I do if am getting the following error: ## MAT14. Non-invertible Matrix. Using Generalized Inverse for SYMMETRIC. The Error Occurred ...

Dear all, I am trying to use time varying VAR for estimation with daily data. There are 4 variables in the system. However, It shows the following message: ## M4. A memory request for an additional 199148820 bytes cannot be satisfied The Error Occurred At Location 6257, Line 396 of VARTVPKSC C:\User...

To my knowledge, no paper tried to do this. But it is similar to the papers (eg. Vargas 2008) that include the exogenous variables into the 2nd stage of the DCC model.
What do you think?
Thank you

Thank you for your reply. Actually, what I want to do is determining which exogenous variable would affect the equicorrelation. Let's use the file "GARCHDECO.RPF" as an example. If I want to investigate whether the federal fund rate affect the equicorrelation of those sample currencies. Ma...

Dear all, I am currently working on DECO model. I want to investigate which the exogenous variable affects the equicorrelation. Does anyone know how to add an exogenous variable into the 2nd stage of DECO estimation? For instance, in the file "GARCHDECO.RPF", adding "usxjpn" seri...