The RATS Software Forum

Dear all, Am I right in conducting multivariate VAR(1)-GARCH(1,1)-M model (4 endogeneous variables) as following: system(model=garchm) variables x1 x2 x3 x4 lags 1 det constant end(system) dec symm[series] hhs(4,4) clear(zeros) hhs * equation eq1 x1 # constant hhs(1,1) hhs(1,2) hhs(1,3) hhs(1,4) equ...

Dear all, I employed the multivariate VAR(1)-DCC-GARCH(1,1) model in empirical analysis. I wonder if the standard errors are avaialable in the GIRF (Generalized Impulse Response Functions). If yes, could I have the code for version pro 8.1. If no, why? How about the variates of VAR-GARCH model, are ...

Dear Sir, I’m a beginner. Could you help me out with the questions as follows: (1) How to estimate multivariate VAR-GARCH model (generalized) and multivariate VAR-GARCH model (Cholesky)? May I have the code? (2) Is it possible to obtain impulse response function (in both table and figure) and foreca...