The RATS Software Forum

thanks, tom for your reply,
sorry if the question is wrong.
Mcleod li test is not good for 2 series. what should be done to correct them.

hey, tom thanx for your quick response these are diagnostic of VAR(1)-BEKK GARCH. Can you tell me they are correct or not? Can you help me with the interpretation? MV-GARCH, BEKK - Estimation by BFGS Convergence in 259 Iterations. Final criterion was 0.0000058 <= 0.0000100 With Heteroscedasticity/Mi...

Thanks, tom for your quick reply can you suggest what can be done to solve such a problem? Since the BEKK model is converging with the VAR model. And CC is converging without VAR(mean model). Is it necessary to converge CC and DCC with a mean model? In the code given in garchmv.rpf in CC and DCC mod...

results cc garch with varma has convergence.pdf You can read more about VARIANCES=VARMA at https://estima.com/ratshelp/index.html?garchmvrpf.html#GARCH_Output_VARMA It does tend to be hard to use as the number of variables increases. Until you have a model which converges you shouldn't worry too mu...

Hey Tom, I am working on DCC-Garch with VARMA variance. I new to RATS and time series analysis. 1) I am getting this error MV-DCC GARCH with VARMA Variances - Estimation by BFGS NO CONVERGENCE IN 44 ITERATIONS. FINAL NORMED GRADIENT 5197.30853 SUBITERATIONS LIMIT EXCEEDED. ESTIMATION POSSIBLY HAS ST...