The RATS Software Forum

Hi, I have winrats 6 and I was wondering how the following task can be accomplished? I'd appreciate if somebody could provide an example. Thanks for any help. I would like to calculate 90-days rolling-window correlations between conditional volatilities of daily returns for two stocks by using const...

How do we get confidence intervals after the regressions? Thanks for any help.

What is the cause of the following error message and how can I correct this problem? ## MAT15. Subscripts Too Large or Non-Positive I used the following code. Garch works without problems but the lines following garch do not. garch(p=1,q=1,mv=bek,hmatrices=hh,method=bfgs,iters=200,pmethod=simplex,pi...

I want to estimate a multivariate garch model for NYSE and London Stock Exchange. Removing the weekends is easy. But non-trading holidays are different for both countries. How can I deal with this problem for multivariate garch? Should I just remove the days for "both" countries when retur...

Does garch handle missing values?

For return series, the values for the weekends are missing. Should I remove those lines before I process the data? Thanks.