ARCH and GARCH Models

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RATS Version 11.1

Last post by TomDoan « Fri Jan 23, 2026 1:01 pm
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RATS 11: Free Trial Version

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by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

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Diagnostic Test for Multivariate GARCH Model

Last post by TomDoan « Sat Dec 02, 2017 3:09 pm
Replies: 13
by Zankawa » Mon Nov 27, 2017 6:03 pm

13 Replies

31687 Views

Last post by TomDoan
Sat Dec 02, 2017 3:09 pm
Restrictions in the mean equation of a traingular BEKK

Last post by Zankawa « Sun Nov 26, 2017 5:46 am
Replies: 6
by Zankawa » Fri Nov 24, 2017 4:00 am

6 Replies

9311 Views

Last post by Zankawa
Sun Nov 26, 2017 5:46 am
Achieving Convergence in Simple VECH Model

Last post by TomDoan « Wed Nov 22, 2017 2:06 pm
Replies: 3
by Zankawa » Wed Nov 22, 2017 12:00 pm

3 Replies

7156 Views

Last post by TomDoan
Wed Nov 22, 2017 2:06 pm
Residuals and Variance of GARCH-BEKK Model

Last post by TomDoan « Tue Nov 21, 2017 7:58 pm
Replies: 1
by Zankawa » Tue Nov 21, 2017 6:03 pm

1 Replies

5518 Views

Last post by TomDoan
Tue Nov 21, 2017 7:58 pm
Exogenous variable in a BEKK model

Last post by TomDoan « Thu Oct 19, 2017 12:40 pm
Replies: 3
by Zankawa » Wed Oct 18, 2017 12:53 pm

3 Replies

7153 Views

Last post by TomDoan
Thu Oct 19, 2017 12:40 pm
BEKK stability check

Last post by TomDoan « Sat Sep 23, 2017 12:23 pm
Replies: 8
by fatemaalaali » Wed Jan 25, 2017 8:30 am

8 Replies

12444 Views

Last post by TomDoan
Sat Sep 23, 2017 12:23 pm
Negative coefficient of leverage effect in TGARCH model

Last post by TomDoan « Wed Sep 13, 2017 12:56 pm
Replies: 25
by jack » Mon Sep 04, 2017 12:37 pm
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2
25 Replies

50890 Views

Last post by TomDoan
Wed Sep 13, 2017 12:56 pm
Testing Standardized residuals

Last post by TomDoan « Mon Sep 04, 2017 12:53 pm
Replies: 3
by mlaz » Thu Dec 12, 2013 11:59 am

3 Replies

10233 Views

Last post by TomDoan
Mon Sep 04, 2017 12:53 pm
when to prefer asymmetric bekk over symmetric one...

Last post by TomDoan « Wed Aug 30, 2017 4:08 pm
Replies: 3
by kula » Tue Aug 29, 2017 4:02 am

3 Replies

7430 Views

Last post by TomDoan
Wed Aug 30, 2017 4:08 pm
Two sets of std. residuals in mgarch estimation...

Last post by TomDoan « Tue Aug 29, 2017 8:53 am
Replies: 7
by kula » Mon Aug 28, 2017 9:01 am

7 Replies

10324 Views

Last post by TomDoan
Tue Aug 29, 2017 8:53 am
Issues with DCC-GARCH

Last post by TomDoan « Wed Jul 19, 2017 12:05 pm
Replies: 7
by OS27 » Wed Jul 19, 2017 8:11 am

7 Replies

11487 Views

Last post by TomDoan
Wed Jul 19, 2017 12:05 pm
missing values

Last post by TomDoan « Tue Jul 18, 2017 8:47 am
Replies: 5
by bkoksal » Thu May 15, 2008 8:50 am

5 Replies

12251 Views

Last post by TomDoan
Tue Jul 18, 2017 8:47 am
MGARCH with robust option

Last post by TomDoan « Thu Jul 06, 2017 7:29 am
Replies: 5
by veryconfusedmgarch » Mon Jul 03, 2017 10:01 am

5 Replies

26236 Views

Last post by TomDoan
Thu Jul 06, 2017 7:29 am
ARMA-GARCH Model

Last post by TomDoan « Fri Jun 23, 2017 8:18 am
Replies: 1
by zizou » Fri Jun 23, 2017 4:33 am

1 Replies

73661 Views

Last post by TomDoan
Fri Jun 23, 2017 8:18 am
RE:Cross volatility

Last post by TomDoan « Thu Jun 22, 2017 2:28 pm
Replies: 5
by veryconfusedmgarch » Wed Jun 21, 2017 12:01 pm

5 Replies

13813 Views

Last post by TomDoan
Thu Jun 22, 2017 2:28 pm
Residuals of VARMA-GARCH Model

Last post by lirona « Fri Jun 16, 2017 2:03 am
Replies: 15
by lirona » Tue Jun 13, 2017 9:12 am
1

2
15 Replies

46380 Views

Last post by lirona
Fri Jun 16, 2017 2:03 am
Bivariate VAR(4) GARCH(1,1)-BEKK model quality

Last post by elisabettac « Tue Jun 13, 2017 3:33 pm
Replies: 6
by elisabettac » Tue Jun 13, 2017 8:19 am

6 Replies

9282 Views

Last post by elisabettac
Tue Jun 13, 2017 3:33 pm
Asymmetric Trivariate GARCH BEKK for Volatility Spillovers

Last post by humyra « Tue Jun 13, 2017 10:38 am
Replies: 10
by elisabettac » Tue Mar 14, 2017 7:56 pm

10 Replies

13007 Views

Last post by humyra
Tue Jun 13, 2017 10:38 am
Diagonal VARMA-GARCH Model (Ling&McAleer)

Last post by TomDoan « Tue Jun 13, 2017 9:57 am
Replies: 1
by lirona » Tue Jun 13, 2017 9:14 am

1 Replies

5124 Views

Last post by TomDoan
Tue Jun 13, 2017 9:57 am
Negative GARCH coefficients in VAR-BEKK-GARCH

Last post by TomDoan « Mon Jun 12, 2017 11:39 am
Replies: 1
by humyra » Mon Jun 12, 2017 11:06 am

1 Replies

5344 Views

Last post by TomDoan
Mon Jun 12, 2017 11:39 am
Element of covariance matrix in Multivariate GARCH-M model

Last post by TomDoan « Sun Jun 04, 2017 2:39 pm
Replies: 5
by mengqi » Sat Apr 08, 2017 8:26 am

5 Replies

9376 Views

Last post by TomDoan
Sun Jun 04, 2017 2:39 pm
Test for size and sign bias in variance

Last post by TomDoan « Sun May 14, 2017 11:31 am
Replies: 5
by abi » Sun Jul 28, 2013 11:03 pm

5 Replies

11366 Views

Last post by TomDoan
Sun May 14, 2017 11:31 am
Bivariate Garch Model with dummy and interactions

Last post by Lena « Fri Apr 07, 2017 1:09 am
Replies: 24
by Jason Gong » Thu May 05, 2016 7:38 am
1

2
24 Replies

38234 Views

Last post by Lena
Fri Apr 07, 2017 1:09 am
standardise residual for diagnostic test for MGARCH

Last post by TomDoan « Mon Mar 13, 2017 9:49 am
Replies: 5
by mengqi » Sun Mar 12, 2017 1:16 pm

5 Replies

8419 Views

Last post by TomDoan
Mon Mar 13, 2017 9:49 am
Different T-Statistics

Last post by TomDoan « Tue Mar 07, 2017 1:28 pm
Replies: 1
by grkn7878 » Mon Mar 06, 2017 8:15 am

1 Replies

5674 Views

Last post by TomDoan
Tue Mar 07, 2017 1:28 pm

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