ARCH and GARCH Models

New Topic

Mark topics read • 403 topics

Page 6 of 17
- Jump to page:
Previous
1
…
4
5
6
7
8
…
17
Next

Announcements

Replies

Views

Last post

RATS Version 11.1

Last post by TomDoan « Fri Jan 23, 2026 1:01 pm
Posted in Forum Announcements

by TomDoan » Tue Jun 06, 2017 12:04 pm » in Forum Announcements

0 Replies

2536822 Views

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

Last post by RK2509 « Sun Apr 05, 2026 9:17 pm
Posted in RATS Product Announcements
Replies: 2
by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

2 Replies

2432524 Views

Last post by RK2509
Sun Apr 05, 2026 9:17 pm

Topics

Replies

Views

Last post

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

6166 Views

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

13549 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

7012 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

32540 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

15553 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

24706 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
1

2

3

4
51 Replies

77768 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

31071 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

9363 Views

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

5136 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

5174 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

4900 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

8311 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

7511 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

4469 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

6675 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

16103 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

5188 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

10947 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

9997 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

5190 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

5236 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

8928 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

9396 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

6941 Views

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

New Topic

Mark topics read • 403 topics

Page 6 of 17
- Jump to page:
Previous
1
…
4
5
6
7
8
…
17
Next

Return to Board Index

Forum permissions

You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum