The RATS Software Forum

Dear Tom,
please does it make sense to use:

group garchmod hfrml>>h ufrml>>u
forecast(model=garchmod,from=2008:2,steps=5)

Not sure where i should start.
Many Thanks

Dear All, I would like to do the out of sample one step ahead forecast of the ARJI-Garch model of of Chan and Maheu(2002), "Conditional Jump Dynamics in Stock Market Returns". Have anyone programmed it (or have rats code)? Or can anyone help me or give me some advice. Not sure where i shou...

Dear Tom,
Please is it possible to use @GARCHFore to forecast the series out of sample as in Chan and Maheu(2002) paper?
Thank you

Dear all, Please can anyone explain how rats calculate quantiles using %fractiles. I tried to calculate quantiles (1%, 5% and 10%). For a time series with 100 observations I expect that the quantile (1%) will give minimum value but it didn’t. compute [vect] pvals=||.01,.05,.10|| compute [vect] VaR=%...

Dear all, I would like to estimate a DCC garch model and to impute an exogenous variable in only the second variance equation. If I use « xregressors », the extra explanatory variable ‘TMM’ will be automatically added in both variances equations garch(p=1,q=1,nomean,xregressors,method=bfgh, hseries=...

Thank youTom,
I think the best solution is to use the Klaassen, F. (2002) swgarch model. However, I didn't find the rats code.
Any help or suggestions please.
Thanks,
Sana

Dear Tom; Thank you for your help. I’m still trying to run the GRAYGARCH algorithm without any succes. Here is the used code: Single regime GARCH model * garch(p=1,q=1,reg,resids=u,hseries=h) / FTN # constant * compute olsvar=%seesq compute onestate=%beta * set usqr = u**2/h statistics u * @regcorrs...

Dear TOM,
Thank you for you prompt response.

But it gives me the same message:
## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points

Please what could be the problem?
I greatly appreciate your help.
Sana

Dear all, I am working on the Markov switching GARCH model. I am running the GRAYGARCH alogrithm, but it gives me the following message: ## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points Please can anyone help me? Here is the used code: CALENDAR(M) 2000:01 *allocate 2010 03 all...

Thank you for your prompt response. I tried again and here is the message:

## SX11. Identifier %MSVARPROB is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>>f = log(%MSVARProb(<<<<

Hi Tom
I tried to run the program but I faced a problem.
The output indicates an error:

## SX16. Missing Operand or Adjacent Operators
>>>>pstar=MSVARInitial(<<<<

Please can you suggest me a solution?
Your help will be much appreciated
Thanks

joannytan wrote:Hi Tom, yes it is working fine now.
Thanks.

Hi
Please can I get the final code.
Your help will be much appreciated.
Thanks

Hi, I would like to estimate a Markov Switching DCC-GARCH model with exogenous variable in the variance equation. I would like to know if the model can be done with modification in the swarch.prg Could you please suggest me any references (RATS codes). May I get any hints for that? I’m using Rats 7 ...

Dear colleague, I would like to estimate a “DCC” version of the Bivariate GARCH(1,1) model of Tse and Tsui (2002) and I would like to add two exogenous variables (basis1 and basis2) into the conditional variances and correlation equations. I am using the RATS software (version 6). The output of the ...