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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Topics

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Asymmetric BEKK model

Last post by TomDoan « Thu May 14, 2015 3:04 am
Replies: 3
by sanjeev » Wed May 13, 2015 3:21 am

3 Replies

7556 Views

Last post by TomDoan
Thu May 14, 2015 3:04 am
Output for MV-GARCH

Last post by TomDoan « Tue May 12, 2015 11:30 am
Replies: 1
by BNK_BNK » Tue May 12, 2015 10:59 am

1 Replies

5724 Views

Last post by TomDoan
Tue May 12, 2015 11:30 am
Bekk Interpretation issue

Last post by TomDoan « Mon May 11, 2015 8:50 pm
Replies: 7
by Stanchev » Fri Dec 13, 2013 12:12 pm

7 Replies

11606 Views

Last post by TomDoan
Mon May 11, 2015 8:50 pm
Question about the RESTRICT instruction

Last post by Aixia_Mei « Tue Apr 28, 2015 1:37 pm
Replies: 4
by Aixia_Mei » Tue Apr 28, 2015 1:26 am

4 Replies

7958 Views

Last post by Aixia_Mei
Tue Apr 28, 2015 1:37 pm
Cholesky decomposition of time-varying covariances

Last post by TomDoan « Fri Apr 24, 2015 10:22 am
Replies: 3
by klaus86 » Fri Apr 24, 2015 7:49 am

3 Replies

7667 Views

Last post by TomDoan
Fri Apr 24, 2015 10:22 am
CC MVEGARCH with spillovers

Last post by TomDoan « Mon Apr 13, 2015 9:10 am
Replies: 3
by Evans_felipe » Tue Apr 07, 2015 1:38 pm

3 Replies

7532 Views

Last post by TomDoan
Mon Apr 13, 2015 9:10 am
RMSE with mv-garch

Last post by TomDoan « Mon Apr 06, 2015 9:05 am
Replies: 3
by BNK_BNK » Sun Apr 05, 2015 8:22 am

3 Replies

7290 Views

Last post by TomDoan
Mon Apr 06, 2015 9:05 am
%RANGED external function

Last post by yngvi « Thu Mar 12, 2015 6:27 am
Replies: 2
by yngvi » Wed Mar 11, 2015 12:17 pm

2 Replies

6137 Views

Last post by yngvi
Thu Mar 12, 2015 6:27 am
M-GARCH-M in GARCH Wizard

Last post by TomDoan « Mon Mar 09, 2015 4:57 pm
Replies: 18
by PERRY » Sat Jul 30, 2011 6:37 pm
1

2
18 Replies

22835 Views

Last post by TomDoan
Mon Mar 09, 2015 4:57 pm
Request for codes of basic EGARCH model

Last post by TomDoan « Wed Mar 04, 2015 11:45 am
Replies: 1
by Aixia_Mei » Tue Mar 03, 2015 10:37 am

1 Replies

5702 Views

Last post by TomDoan
Wed Mar 04, 2015 11:45 am
irf for var with mgarch in mean

Last post by TomDoan « Mon Feb 09, 2015 1:23 pm
Replies: 3
by luxu1983 » Fri Mar 12, 2010 8:27 am

3 Replies

6306 Views

Last post by TomDoan
Mon Feb 09, 2015 1:23 pm
Standard BEKK & Triangular BEKK

Last post by TomDoan « Tue Jan 13, 2015 12:37 pm
Replies: 16
by econo » Sat Sep 06, 2014 6:53 am
1

2
16 Replies

18476 Views

Last post by TomDoan
Tue Jan 13, 2015 12:37 pm
Multivariate GARCH

Last post by TomDoan « Tue Dec 02, 2014 6:44 pm
Replies: 7
by paldejong » Sun Oct 26, 2014 2:12 pm

7 Replies

8686 Views

Last post by TomDoan
Tue Dec 02, 2014 6:44 pm
DCC Garch and Error bands

Last post by TomDoan « Tue Nov 25, 2014 1:50 pm
Replies: 1
by billmil » Tue Nov 25, 2014 1:14 pm

1 Replies

4012 Views

Last post by TomDoan
Tue Nov 25, 2014 1:50 pm
ANST-garch estimation

Last post by huanpipt « Wed Nov 12, 2014 1:48 pm
Replies: 6
by huanpipt » Wed Nov 05, 2014 8:52 pm

6 Replies

7898 Views

Last post by huanpipt
Wed Nov 12, 2014 1:48 pm
using Vegarch on Rats 8.3

Last post by adrangi « Sun Nov 09, 2014 8:41 pm
Replies: 6
by adrangi » Mon Oct 27, 2014 12:27 am

6 Replies

7568 Views

Last post by adrangi
Sun Nov 09, 2014 8:41 pm
MV-EGARCH with spillovers

Last post by TomDoan « Thu Oct 30, 2014 11:36 am
Replies: 57
by TomDoan » Thu Dec 31, 2009 4:08 pm
1

2

3

4
57 Replies

69795 Views

Last post by TomDoan
Thu Oct 30, 2014 11:36 am
component GARCH

Last post by TomDoan « Mon Oct 27, 2014 10:59 am
Replies: 1
by albeta456 » Sat Oct 11, 2014 10:27 pm

1 Replies

4380 Views

Last post by TomDoan
Mon Oct 27, 2014 10:59 am
Adding a Mean Model of my choice in the GARCH process

Last post by TomDoan « Tue Sep 30, 2014 9:14 pm
Replies: 5
by arezitis » Thu Feb 13, 2014 12:34 pm

5 Replies

7438 Views

Last post by TomDoan
Tue Sep 30, 2014 9:14 pm
Volatility IRF

Last post by TomDoan « Fri Sep 19, 2014 2:48 pm
Replies: 3
by fadimohamed » Tue Apr 24, 2012 5:32 am

3 Replies

9119 Views

Last post by TomDoan
Fri Sep 19, 2014 2:48 pm
Excessive piters?

Last post by oli4 « Thu Aug 14, 2014 11:12 am
Replies: 2
by oli4 » Wed Aug 13, 2014 8:00 pm

2 Replies

4804 Views

Last post by oli4
Thu Aug 14, 2014 11:12 am
Hypothesis test on BEKK coefficients

Last post by TomDoan « Mon Aug 04, 2014 3:45 pm
Replies: 3
by paldejong » Sun Aug 03, 2014 12:30 pm

3 Replies

5931 Views

Last post by TomDoan
Mon Aug 04, 2014 3:45 pm
ADCC GARCH Query

Last post by TomDoan « Mon Jul 14, 2014 1:57 pm
Replies: 3
by nhv143 » Sun Jul 06, 2014 9:39 pm

3 Replies

6596 Views

Last post by TomDoan
Mon Jul 14, 2014 1:57 pm
Multivariate Arch Effects in BEKK model

Last post by paldejong « Mon Jun 30, 2014 11:49 am
Replies: 2
by paldejong » Mon Jun 30, 2014 10:12 am

2 Replies

5297 Views

Last post by paldejong
Mon Jun 30, 2014 11:49 am
Problem with multivariate GARCH model

Last post by TomDoan « Wed May 28, 2014 11:22 am
Replies: 16
by ecofin » Fri May 02, 2014 3:53 am
1

2
16 Replies

19337 Views

Last post by TomDoan
Wed May 28, 2014 11:22 am

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