ARCH and GARCH Models

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RATS Version 11.1

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RATS 11: Free Trial Version

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Long term covariance for Multivariate GARCH

Last post by TomDoan « Sat Mar 04, 2017 10:13 pm
Replies: 9
by mengqi » Thu Jul 07, 2016 3:18 am

9 Replies

12473 Views

Last post by TomDoan
Sat Mar 04, 2017 10:13 pm
Sample Question

Last post by e1983 « Mon Feb 06, 2017 11:22 am
Replies: 2
by e1983 » Mon Feb 06, 2017 8:53 am

2 Replies

6415 Views

Last post by e1983
Mon Feb 06, 2017 11:22 am
Rolling Forecast for MGARCH(DCC and BEKK)

Last post by TomDoan « Tue Jan 03, 2017 11:27 am
Replies: 15
by Vik_pa » Thu Dec 22, 2016 4:37 am
1

2
15 Replies

30493 Views

Last post by TomDoan
Tue Jan 03, 2017 11:27 am
shock and volatility spillovers in BEKK model

Last post by TomDoan « Fri Dec 16, 2016 8:13 am
Replies: 9
by sanjeev » Tue Jun 02, 2015 3:23 am

9 Replies

14446 Views

Last post by TomDoan
Fri Dec 16, 2016 8:13 am
Estimating co-variance using Range Based EWMA

Last post by TomDoan « Thu Dec 15, 2016 11:52 am
Replies: 13
by Vik_pa » Wed Dec 07, 2016 8:03 am

13 Replies

23145 Views

Last post by TomDoan
Thu Dec 15, 2016 11:52 am
Estimation of VAR(1)-GARCH(1,1) model

Last post by TomDoan « Sun Dec 04, 2016 10:27 am
Replies: 51
by irfanawan » Sun May 03, 2015 8:25 am
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51 Replies

71640 Views

Last post by TomDoan
Sun Dec 04, 2016 10:27 am
BEKK&DCC

Last post by TomDoan « Fri Dec 02, 2016 7:29 am
Replies: 23
by TomDoan » Sat Feb 27, 2016 9:12 am
1

2
23 Replies

27994 Views

Last post by TomDoan
Fri Dec 02, 2016 7:29 am
EGARCH one-step out-of-sample Forecasts

Last post by imansur « Wed Nov 09, 2016 9:44 am
Replies: 6
by imansur » Tue Nov 08, 2016 6:15 pm

6 Replies

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Last post by imansur
Wed Nov 09, 2016 9:44 am
A negative ARCH coefficient

Last post by TomDoan « Mon Oct 17, 2016 1:33 pm

by TomDoan » Mon Oct 17, 2016 1:33 pm

0 Replies

4830 Views

Last post by TomDoan
Mon Oct 17, 2016 1:33 pm
Autocorrelation test in GARCH BEKK Model

Last post by TomDoan « Wed Sep 28, 2016 12:52 pm
Replies: 1
by Zankawa » Wed Sep 28, 2016 11:39 am

1 Replies

4805 Views

Last post by TomDoan
Wed Sep 28, 2016 12:52 pm
Mean Equation Forecast

Last post by TomDoan « Tue Sep 27, 2016 11:20 am
Replies: 1
by Jules89 » Tue Sep 27, 2016 11:06 am

1 Replies

4494 Views

Last post by TomDoan
Tue Sep 27, 2016 11:20 am
VARMA-GARCH-BEKK. no convergence in Rats 9.1

Last post by h2do « Wed Sep 21, 2016 11:51 pm
Replies: 4
by h2do » Thu Sep 15, 2016 11:30 pm

4 Replies

7572 Views

Last post by h2do
Wed Sep 21, 2016 11:51 pm
Forecasting GARCH model

Last post by Kraus « Mon Sep 12, 2016 1:24 pm
Replies: 4
by Kraus » Mon Sep 12, 2016 9:43 am

4 Replies

6959 Views

Last post by Kraus
Mon Sep 12, 2016 1:24 pm
Out of sample forecast for VARX-MGARCH-BEKK

Last post by mengqi « Sun Sep 11, 2016 6:04 pm

by mengqi » Sun Sep 11, 2016 6:04 pm

0 Replies

4150 Views

Last post by mengqi
Sun Sep 11, 2016 6:04 pm
SWARCH

Last post by TomDoan « Sat Aug 27, 2016 2:05 pm
Replies: 3
by Fragui » Wed Aug 24, 2016 9:09 am

3 Replies

6133 Views

Last post by TomDoan
Sat Aug 27, 2016 2:05 pm
BEKK Model

Last post by TomDoan « Sat Aug 13, 2016 11:58 am
Replies: 11
by Zankawa » Thu Jun 30, 2016 5:10 pm

11 Replies

14751 Views

Last post by TomDoan
Sat Aug 13, 2016 11:58 am
Convergence issue in DCC GARCH

Last post by TomDoan « Fri Aug 05, 2016 9:33 am
Replies: 1
by Vik_pa » Fri Aug 05, 2016 6:01 am

1 Replies

4839 Views

Last post by TomDoan
Fri Aug 05, 2016 9:33 am
Can we get the sig level of autocorrelations in the LB test?

Last post by TomDoan « Thu Jul 21, 2016 11:35 am
Replies: 1
by Aixia_Mei » Thu Jul 21, 2016 7:35 am

1 Replies

10553 Views

Last post by TomDoan
Thu Jul 21, 2016 11:35 am
Copula MV-GARCH vs. DCC

Last post by yngvi « Tue Jul 19, 2016 1:02 pm
Replies: 4
by yngvi » Tue Jul 05, 2011 10:13 am

4 Replies

9400 Views

Last post by yngvi
Tue Jul 19, 2016 1:02 pm
Scalar BEKK

Last post by TomDoan « Wed Jun 22, 2016 11:39 am
Replies: 1
by phillee » Tue Jun 21, 2016 4:56 pm

1 Replies

4781 Views

Last post by TomDoan
Wed Jun 22, 2016 11:39 am
VARX-GARCH-BEKK

Last post by TomDoan « Tue Jun 21, 2016 2:54 pm
Replies: 1
by mengqi » Tue Jun 21, 2016 2:17 pm

1 Replies

4802 Views

Last post by TomDoan
Tue Jun 21, 2016 2:54 pm
CC-VARMA GARCH Model

Last post by TomDoan « Fri May 20, 2016 9:56 am
Replies: 5
by jeanne » Thu Jun 18, 2015 6:56 am

5 Replies

8148 Views

Last post by TomDoan
Fri May 20, 2016 9:56 am
GARCH-BEKK Model

Last post by TomDoan « Fri May 13, 2016 7:15 am
Replies: 3
by Zankawa » Sun Mar 13, 2016 5:49 pm

3 Replies

8714 Views

Last post by TomDoan
Fri May 13, 2016 7:15 am
Simulating a MV-GARCH process

Last post by TomDoan « Wed Apr 13, 2016 10:26 am

by TomDoan » Tue Apr 12, 2011 3:03 pm

0 Replies

6508 Views

Last post by TomDoan
Wed Apr 13, 2016 10:26 am
Saving conditional variances

Last post by FaeK « Thu Mar 17, 2016 7:35 am
Replies: 2
by FaeK » Thu Mar 17, 2016 7:22 am

2 Replies

5444 Views

Last post by FaeK
Thu Mar 17, 2016 7:35 am

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