The RATS Software Forum

Hello Tom,

Thanks for the feedback on the variance constants. For the ARCH and GARCH parameters, can the parameters themselves (ex. A(1,3)) be interpreted as spillovers? Or do I need to square them or perform an interaction with the other terms first?

Thanks,

Curtis

Hello, I am trying to interpret my multivariate BEKK model results in the context of the variance and covariance equations for 4 price return series. For example, the variance equation for one series and the covariance equation between series 1 and 2 can be represented by the attachment I have inclu...

Hello, I apologize if the answer to this is obvious somewhere (I could not find the specific answer in the manual or online)... I am looking to construct two vertical shaded bands for my time series graph. Specifically, the periods 2008:07:04 to 2009:08:07 and 2012:10:26 to 2014:10:03. How would I g...

Hello Tom, Thanks for the reply. I have already compared the CCC model with my DCC model and my conclusion is that the DCC model is more appropriate. What I am trying to do is compare the relative magnitudes of the mean correlations (for example, the mean correlation for wheat/corn is greater than c...

Hello, I have generated 511 correlation estimates using a DCC GARCH model with a VECM mean specification. I am wondering what test I can use, if any, to see if the correlations are statistically different from one another (between wheat/corn and corn/ethanol). The generated correlations are not norm...

Thank you for the clarification Tom. One more question... I noticed that on the @FLUX Procedure page, the example listed gives an output that estimates a break entry period (in the example, the break appears to be in the mean at entry period 1296). However, when I run the flux command I do not get a...

Hello Tom, For some reason, when I run the code you provided for any dd(), I get a value of zero back. For example, I have attached the picture ("Nyblom1") of the estimated cumulated gradients for one of my parameters, A(1,2) (or, dd(36)). When I run the following code, acc dd(36) / agrad3...

Hello, I am wanting to include variance shift dummies in my VECM BEKK-GARCH model. I have performed a Nyblom (1989) test on my model and have identified five variance parameters that have breaks. My question is how to use these results to justify break dates for my variance shift dummies. I have rea...

Hello, I am wondering if its possible to estimate seemingly unrelated regression (SUR) system with error-correction process. It would kind of be like a VECM but with asymmetric lags in the individual equations. I have tried introducing an ECT into my SUR, but I am not entirely sure how to go about e...

Hello Tom, Thanks again for your input on this. Going back to my mean equation, is there a way to omit the variables which are statistically insignificant? Would it be appropriate instead to restrict the insignificant parameters to zero? Is there a way to do this in RATS? I guess it would be like so...

Hello Tom, Thanks for the help on this. I came up with the dummies by looking at the generated variances for each of the four series. There are obvious periods of higher variance which I wanted to explain (i.e. international economic events). However, based on your previous comment, it seems as thou...

Hello Tom, Included below is my full code and output, just to give you an idea. equation(coeffs=cv) ecteq * # WHEAT CORN ETHANOL GAS system(model=basevecm) variables WHEAT CORN ETHANOL GAS lags 1 2 det constant food profits oil ect ecteq end(system) estimate(residuals=resids) garch(p=1,q=1,model=bas...

Hello Tom, I have 511 data points per series. The purpose of these variance dummies is because when I generate the dynamic variances from the original BEKK model, there were similar periods of higher variance during three time periods across each of my series (i.e. wheat, corn, ethanol, and gas). Wo...

Hello, I have estimated a BEKK GARCH model with three exogenous time dummies. Several of the estimated parameters are either statistically insignificant, or significant but pretty much equal to zero (not economically significant). My professor suggested to try and restrict the number of parameters e...

Thanks again for this help. My data is logged price series, so what could I do if I wanted to graph a shock of 10% and not a unit increase?