The RATS Software Forum

Dear Tom Doan I have still the same error because of the code in the the example 11.2 SVAR_GARCH impulse response in RATS handbook for ARCH/GARCH and Volatility model(2nd Edition) frml SAVRLogl = hh=SVARHMatrix(t),sqrthoil=sqrt(hh(t)(1,1)),$ ux=SVARUVector(t),%logdensity(hh,ux) [/b] ## SX11. Identif...

Dear Tom Doan I followed the example 11.2 SVAR_GARCH impulse response in RATS handbook for ARCH/GARCH and Volatility model(2nd Edition) But I have a error massage because of below the code In the example * This computes the logl likelihood by computing the covariance * matrix, then the square root o...

Dear Tom Doan I use two files(var_1_1.rpf and garch11_1.rpf, both are from Course Materials: Vector Autoregression, 2nd Edition and ARCH, GARCH, and Stochastic Volatility, 2nd Edition) to learn SVAR-MGARCH model. The files have a same code @VARLagSelect Whenever I just run both files, I face the sam...

Your trailing ” is a typographer's quote (used in books), not a standard ASCII ". Also, you need to be careful with embedded spaces---are those actually supposed to be there? Dear Tom Doan Thank you so much for your Careful consideration! It works! I decided to remind the basic on RATS thanks ...

Dear Tom Doan I am trying to use a SVAR-MGARCH model(like Elder-Serletis 2010) So, I followed the code in page 272 of the ARCH, GARCH, and Volatility E-Course (2nd Edition) However I got an error like below ** data read*** OPEN DATA " Macintosh HD/Users/hyunbocklee/Google drive/Rats10.0/ GARCHC...

Thank you very much Tom!

It works lovely!

Thank you again!

TomDoan wrote:You need a space before the = in the SET instruction.

Dear Tom

Thank you for your quick reply

I put the code set laglacc = lacc{1}

but I got error like this
## SX 5. Expected = Here
>>>>>> Set laglacc=lacc{1}<<<<<<<

Would you please help me again?

Regards

Dear Users of RATS I am using a bivariate BEKK-GARCH Model(please see below) to check volatility spillovers between commodity markets. Because of time difference between two markets, I use the lag notation like lacc{1} in the model. However, I got the error SR4(tried to use series number -5, -series...