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

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1558943 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
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by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

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Sun Apr 05, 2026 9:17 pm

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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
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16 Replies

19852 Views

Last post by TomDoan
Wed May 28, 2014 11:22 am
Obtaining tstats and forecasting with old GARCH instruction

Last post by jimdimit « Wed Feb 26, 2014 12:06 am
Replies: 4
by jimdimit » Tue Feb 25, 2014 12:39 pm

4 Replies

6923 Views

Last post by jimdimit
Wed Feb 26, 2014 12:06 am
Variations on BEKK

Last post by edysbe76 « Thu Feb 20, 2014 12:31 pm
Replies: 13
by TomDoan » Wed Dec 02, 2009 2:53 pm

13 Replies

20246 Views

Last post by edysbe76
Thu Feb 20, 2014 12:31 pm
VARMA AGARCH of Hoti et al

Last post by allister « Tue Jan 07, 2014 12:06 pm
Replies: 2
by allister » Tue Jan 07, 2014 9:17 am

2 Replies

6509 Views

Last post by allister
Tue Jan 07, 2014 12:06 pm
Regime switching GARCH

Last post by TomDoan « Fri Nov 29, 2013 11:16 am
Replies: 3
by JohnV » Wed Nov 27, 2013 7:47 pm

3 Replies

6280 Views

Last post by TomDoan
Fri Nov 29, 2013 11:16 am
robustness test on DCC-GARCH

Last post by TomDoan « Mon Nov 11, 2013 9:41 am
Replies: 1
by h3ll3n4 » Sun Nov 10, 2013 11:11 pm

1 Replies

4811 Views

Last post by TomDoan
Mon Nov 11, 2013 9:41 am
How to compute DCC-GARCH mean quation for AR(5,1)

Last post by h3ll3n4 « Sat Nov 09, 2013 10:14 pm
Replies: 8
by h3ll3n4 » Tue Nov 05, 2013 11:51 am

8 Replies

12183 Views

Last post by h3ll3n4
Sat Nov 09, 2013 10:14 pm
how to include Autoregressive correction in DCCmean equation

Last post by h3ll3n4 « Fri Nov 08, 2013 9:48 pm
Replies: 2
by h3ll3n4 » Thu Nov 07, 2013 9:34 pm

2 Replies

5456 Views

Last post by h3ll3n4
Fri Nov 08, 2013 9:48 pm
Standardization of residuals in a multivariate DCC GARCH mod

Last post by TomDoan « Mon Oct 21, 2013 11:44 am
Replies: 1
by Adde » Mon Oct 21, 2013 10:31 am

1 Replies

5941 Views

Last post by TomDoan
Mon Oct 21, 2013 11:44 am
help for the 2 factor EGARCH

Last post by kingjia « Sat Oct 19, 2013 12:35 pm
Replies: 6
by kingjia » Fri Oct 18, 2013 10:07 am

6 Replies

8530 Views

Last post by kingjia
Sat Oct 19, 2013 12:35 pm
Negative GARCH coefficient in a DCC-GARCH(1,1) model

Last post by TomDoan « Wed Oct 02, 2013 11:57 am
Replies: 3
by vmadhavan » Wed Oct 02, 2013 7:54 am

3 Replies

8942 Views

Last post by TomDoan
Wed Oct 02, 2013 11:57 am
VIRF and asymmetry

Last post by TomDoan « Wed Sep 18, 2013 10:18 am
Replies: 1
by fadimohamed » Wed Sep 18, 2013 6:35 am

1 Replies

5184 Views

Last post by TomDoan
Wed Sep 18, 2013 10:18 am
GARCH Instruction problems

Last post by sulong « Wed Sep 18, 2013 12:46 am
Replies: 2
by sulong » Mon Sep 16, 2013 11:28 pm

2 Replies

5612 Views

Last post by sulong
Wed Sep 18, 2013 12:46 am
DCC Graphs help required

Last post by mbfakhry « Fri Sep 06, 2013 3:59 pm
Replies: 8
by mbfakhry » Fri Sep 06, 2013 10:05 am

8 Replies

11558 Views

Last post by mbfakhry
Fri Sep 06, 2013 3:59 pm
PLEASE HELP!! No Convergence in DCC

Last post by mbfakhry « Mon Aug 26, 2013 9:18 am
Replies: 4
by mbfakhry » Fri Aug 23, 2013 6:28 am

4 Replies

8522 Views

Last post by mbfakhry
Mon Aug 26, 2013 9:18 am
Dynamic EGARCH forecast

Last post by TomDoan « Thu Aug 22, 2013 9:44 pm
Replies: 3
by likykiki » Thu Aug 22, 2013 7:03 am

3 Replies

7261 Views

Last post by TomDoan
Thu Aug 22, 2013 9:44 pm
Default coefficient of GARCH(1,1)

Last post by TomDoan « Mon Aug 19, 2013 12:34 pm
Replies: 3
by likykiki » Mon Aug 19, 2013 10:58 am

3 Replies

6024 Views

Last post by TomDoan
Mon Aug 19, 2013 12:34 pm
Bi-variate BEKK, contagion effect dummy

Last post by e1983 « Fri Aug 16, 2013 4:35 pm
Replies: 4
by jongrim » Sat May 11, 2013 11:19 am

4 Replies

7768 Views

Last post by e1983
Fri Aug 16, 2013 4:35 pm
Initital Guess for Covariance Part in MGARCH Model

Last post by TomDoan « Mon Jul 29, 2013 9:54 am
Replies: 1
by flip » Sun Jul 28, 2013 4:42 pm

1 Replies

5768 Views

Last post by TomDoan
Mon Jul 29, 2013 9:54 am
Convergence problem MGARCH-BEKK model

Last post by TomDoan « Sat Jul 20, 2013 5:04 pm
Replies: 1
by myrthevandieijen » Sat Jul 20, 2013 3:34 pm

1 Replies

5833 Views

Last post by TomDoan
Sat Jul 20, 2013 5:04 pm
GARCH volatility spillover

Last post by dfschoi « Sat Jul 20, 2013 12:36 am
Replies: 4
by dfschoi » Thu Jul 18, 2013 4:49 am

4 Replies

8042 Views

Last post by dfschoi
Sat Jul 20, 2013 12:36 am
Panel Garch: coding general mean and conditional varian

Last post by suhriz « Mon Jun 24, 2013 11:56 pm
Replies: 20
by trish » Fri Apr 06, 2012 3:41 am
1

2
20 Replies

27467 Views

Last post by suhriz
Mon Jun 24, 2013 11:56 pm
Marginal effects in the BEKK model

Last post by TomDoan « Mon May 13, 2013 12:45 pm
Replies: 4
by avalokita » Wed May 08, 2013 7:57 pm

4 Replies

8217 Views

Last post by TomDoan
Mon May 13, 2013 12:45 pm
VAR-GARCH-M

Last post by TomDoan « Tue May 07, 2013 6:48 pm
Replies: 82
by economics2012 » Fri Jan 20, 2012 2:47 pm
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82 Replies

104098 Views

Last post by TomDoan
Tue May 07, 2013 6:48 pm
No Usable Data Points

Last post by TomDoan « Fri Apr 19, 2013 9:33 am
Replies: 8
by mike523 » Mon Apr 08, 2013 8:17 am

8 Replies

12970 Views

Last post by TomDoan
Fri Apr 19, 2013 9:33 am

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