The RATS Software Forum

I have estimated a bivariate VAR BEKK GARCH model using two series: Return on CD (R_CD) and Return on CS (R_CS). Then, I am tried to compute the optimal weight, hedge ratio and hedging effectivness (as mentioned in this link: (as mentioned in the link: https://www.emerald.com/insight/content/doi/10....

Dear members I am using daily data to estimate a VAR BEKK GARCH model. However, as presented in the screen-shoot bellow, when i press on daily data in Standard frequencies, the custom frequencies choosen automaticaly is periods per weeks (). The problem is that for some weeks i have 5 observations a...

Many thanks for your collaboration. Just I want to tell you that I am using the version 8 of Rats not the version 6 or 7.

I did what you suggested with my original instruction and i added STDRESIDS=ZU and DERIVES=DD. However, i still receive an error message: garch(p=1,q=1,model=var1,mv=bekk,asymmetric,pmethod=simplex,piters=10,stdresids=zu,derives=dd) ## OP3. This Instruction Does Not Have An Option STD >>>>iters=10,s...

Many thanks for your speedy reply I am Taking my original instruction and i add STDRESIDS=ZU,DERIVES=DD to the options. However, the code don't work garch(p=1,q=1,model=var1,mv=bekk,asymmetric,pmethod=simplex,piters=10,rseries=rs,mvhseries=hhs,stdresids=zu,derives=dd) ## OP3. This Instruction Does N...

Many thanks for your reply. I tried the code that you post in your reply: garch(model=var1,mv=bekk,asymmetric,p=1,q=1,distrib=t,$ pmethod=simplex,piters=10,iters=500,$ rseries=rs,mvhseries=hhs,stdresids=zu,derives=dd) However i get this error message: ## I1. Expected Instruction - RSE Is Not Recogni...

Dear members I am runing an asymmetric VAR-BEKK GARCH using the following code: system(model=var1) variables France UK Italy lags 1 det constant end(system) * garch(p=1,q=1,model=var1,mv=bekk,asymmetric,pmethod=simplex,piters=10) Afterwards, when I am trying to verify the existence of conditional he...

Dear members When I am trying to run a DCC Garch model I received this error message: garch(p=1,q=1,mv=dcc) / R_SP500 R_WTI R_Gold R_Green ## REG20. GARCH Cannot Be Used with Gaps/Missing Values However, when I checked my dataset I don't found any missing values. P.S: You can find attached my databa...

I rerun my model for UK and Canada and it's ok for the DCC(1) and Dcc(2) they don't exceed unit. But I am not able to obtain the graphic of the Conditional correlation even though i integrate the HMATRICES=HH option on the GARCH instruction. This is what I get * set UKCand = %cvtocorr(hh(t))(1,2) ##...

Hello, i run i run a DCC GARCH model using this code: garch(p=1,q=1,mv=dcc) / USA Canada France And i get this output. MV-GARCH, DCC - Estimation by BFGS Convergence in 19 Iterations. Final criterion was 0.0000000 <= 0.0000100 Daily(5) Data From 2020:03:11 To 2021:05:27 Usable Observations 317 Log L...