The RATS Software Forum

Thank you very much, Tom! I needed to be sure that the code is right first. I am doing model like https://www.sciencedirect.com/science/article/pii/S0261560608001423 in 5.3.- VAR GARCH-M model. What is the best way to choose the optimal leg length? As I can see from my data, optimal leg length is 1...

Hi, I have one question. I want to code VAR(2)-BEKK-in mean (with standard deviation of unconditional variances in VAR equation) I wrote the Code: * VAR (2) system(model=varmah) variables pi y lags 1 2 det constant sqrth(1) sqrth(2) end(system) clear(zeros) sqrth eps * * Do three iterations on the V...