The RATS Software Forum

Hi Tom. Is possible to change decimal or thousands separator in a vertical axis of a graphic? I want the axis in the graphic shows 3,5 instead of 3.5.
Thanks for your support.

Regards,

Hi Tom. Could you see my last post?
regards,

Hi Tom. I have a model with six stocks and I run a multivariate GARCH for each one. I want to use the REPORT instruction. I already have the report with coefficients and standard errors in parenthesis: com fin = 1823 cal(irregular) all fin open data I:\EAFIT\Tesis\GPRK\Accion_GPRK_diaria_Final.xls d...

Tom perfect, very useful. It's working!
Thanks.

Hi Tom. I am trying to do the calculations using maximize with the code below: cal(irregular) all 1734 open data I:\EAFIT\Tesis\GPRK\Accion_GPRK_diaria_Final.xls data(format=xls, org=obs) **print(win = 'datos') ***** TRANSFORMACIÓN DE DATOS ***** set us10y = us_10y; set ca10y = ca_10y; set caus = ca...

Ok Tom, but is possible to calculate a series from %xsubmat included in Hadjust? In the example I there is a row vector (1x4) that would be updated in each step. How can I obtain for every column a series (tx1). For example i would have this line: hadjust=%(coeffs = tr(inv(%xsubmat(hmecp(j),1,4,1,4)...

Thanks Tom. Is possible to use %xsubmat in hadjust for GARCH? I am trying but it is not working. Should I do something with declare before?
Regards,

Hi Tom. I have a Matrix called hmpxt 5x5 which is updating several times (actually it is a covariance matrix from a Multivariate Garch). I am trying to include some calculations: dec rect dcb2(1731,4) do j = 1, 1731 com dcb = tr(inv(%xsubmat(hmpxt(j),1,4,1,4))*tr(%xsubmat(hmpxt(j),5,5,1,4))) do i = ...

Hi Tom. I´m trying to include Dynamic Conditional Betas (DCB) according to Engle (2016). Here is my code: cal(irregular) all 1734 open data I:\EAFIT\Tesis\GPRK\Accion_GPRK_diaria_Final.xls data(format=xls, org=obs) **print(win = 'datos') ***** Data transformed ***** set us10y = us_10y; set ca10y = c...

Tom I realized that in my Excel file I had calculations in a column, affecting all data set. Data was depured once this fail was detected.
Regards and thanks for your support.

I saw this thread: https://estima.com/forum/viewtopic.php?t=144 However I don't know with 1734 observations, it cuts in this way: With Heteroscedasticity/Misspecification Adjusted Standard Errors Usable Observations 541 Data as I see is not missing but let me know what could be wrong. Regards,

HI Tom. I am including a Dummy variables as xregressor for GARCH (Dummy = 1 if t>=1525; 0 otherwise). The code for GARCH estimation runs properly, however for this calculation: set rhomk = %cvtocorr(hho(t))(3,1) This error arises: ## MAT15. Subscripts Too Large or Non-Positive Error was evaluating e...

Thanks for your advice.

Tom thanks a lot for your support. Very useful.
Regards,

Hi. I am trying to implement a DCC GARCH with a t-distribution. According to my hypothesis there is a MGARCH relationship between S&P500 (its daily return), Brent (in daily % change) and return of a oil & gas stock (called GPRK). This is my code: cal(irregular) all 1736 open data I:\EAFIT\Te...