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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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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series correlation can't be solved

Last post by ibrahim « Sun Apr 07, 2013 3:46 pm
Replies: 12
by huanpipt » Thu Feb 23, 2012 2:53 am

12 Replies

15380 Views

Last post by ibrahim
Sun Apr 07, 2013 3:46 pm
How to check global and local maximum?

Last post by TomDoan « Fri Mar 29, 2013 2:52 pm
Replies: 1
by yli725 » Thu Mar 28, 2013 1:15 pm

1 Replies

4568 Views

Last post by TomDoan
Fri Mar 29, 2013 2:52 pm
Initial value for mvgarch model

Last post by TomDoan « Wed Mar 20, 2013 12:15 pm
Replies: 1
by yli725 » Tue Mar 19, 2013 10:30 pm

1 Replies

6003 Views

Last post by TomDoan
Wed Mar 20, 2013 12:15 pm
ECM-GARCH model estimation

Last post by xin_zh « Fri Mar 15, 2013 11:35 pm
Replies: 3
by xin_zh » Tue Feb 26, 2013 3:21 pm

3 Replies

7902 Views

Last post by xin_zh
Fri Mar 15, 2013 11:35 pm
DCC

Last post by FaeK « Sun Mar 10, 2013 9:40 pm
Replies: 2
by FaeK » Tue Mar 05, 2013 9:58 am

2 Replies

5871 Views

Last post by FaeK
Sun Mar 10, 2013 9:40 pm
bivariate GARCH-X

Last post by TomDoan « Sun Jan 27, 2013 6:13 pm
Replies: 7
by fadimohamed » Thu Jan 24, 2013 9:05 am

7 Replies

11301 Views

Last post by TomDoan
Sun Jan 27, 2013 6:13 pm
Bootstrpped Data Series

Last post by msrahman « Fri Nov 30, 2012 4:51 pm

by msrahman » Fri Nov 30, 2012 4:51 pm

0 Replies

4351 Views

Last post by msrahman
Fri Nov 30, 2012 4:51 pm
testing for the I in IGARCH

Last post by TomDoan « Thu Nov 01, 2012 8:41 pm
Replies: 1
by uli » Wed Oct 31, 2012 10:08 am

1 Replies

5133 Views

Last post by TomDoan
Thu Nov 01, 2012 8:41 pm
SVAR with GARCH Errors

Last post by terrya « Thu Nov 01, 2012 2:44 pm
Replies: 3
by terrya » Tue Oct 30, 2012 4:57 pm

3 Replies

6576 Views

Last post by terrya
Thu Nov 01, 2012 2:44 pm
Restricted MV-GARCH

Last post by FaeK « Wed Oct 31, 2012 8:47 pm
Replies: 18
by FaeK » Tue Jun 26, 2012 12:02 pm
1

2
18 Replies

26865 Views

Last post by FaeK
Wed Oct 31, 2012 8:47 pm
VAR(2) BEKK MGARCH t=3

Last post by amcqeen « Wed Oct 24, 2012 9:07 am
Replies: 4
by amcqeen » Tue Oct 23, 2012 10:56 pm

4 Replies

7762 Views

Last post by amcqeen
Wed Oct 24, 2012 9:07 am
Quatro-variate BEKK MGARCH with VAR(2) for the mean equation

Last post by amcqeen « Wed Oct 17, 2012 5:54 am
Replies: 2
by amcqeen » Wed Oct 17, 2012 2:02 am

2 Replies

5935 Views

Last post by amcqeen
Wed Oct 17, 2012 5:54 am
Convergence issues EGARCH Model

Last post by lsal0106 « Wed Oct 10, 2012 7:37 pm
Replies: 8
by lsal0106 » Sun Oct 07, 2012 10:43 pm

8 Replies

11781 Views

Last post by lsal0106
Wed Oct 10, 2012 7:37 pm
The validity of significance tests for BEKK models?

Last post by TomDoan « Wed Oct 03, 2012 11:27 am
Replies: 1
by avalokita » Wed Oct 03, 2012 9:42 am

1 Replies

5799 Views

Last post by TomDoan
Wed Oct 03, 2012 11:27 am
graph residual from DCC GARCH

Last post by TomDoan « Thu Sep 27, 2012 5:55 pm
Replies: 1
by lumengobobo46 » Thu Sep 27, 2012 5:02 pm

1 Replies

5489 Views

Last post by TomDoan
Thu Sep 27, 2012 5:55 pm
Dummy variable for GJR Garch (1,1) and GARCH-M (1,1)

Last post by GaryM26 « Mon Sep 17, 2012 4:02 am
Replies: 2
by GaryM26 » Fri Sep 14, 2012 3:44 pm

2 Replies

6538 Views

Last post by GaryM26
Mon Sep 17, 2012 4:02 am
Box jenkins problem trying find to best fit model

Last post by TomDoan « Fri Sep 14, 2012 12:25 pm
Replies: 17
by GaryM26 » Tue Sep 11, 2012 8:15 am
1

2
17 Replies

22214 Views

Last post by TomDoan
Fri Sep 14, 2012 12:25 pm
Testing for Arch affects

Last post by TomDoan « Fri Sep 07, 2012 6:30 am
Replies: 3
by GaryM26 » Thu Sep 06, 2012 4:03 pm

3 Replies

6489 Views

Last post by TomDoan
Fri Sep 07, 2012 6:30 am
DCC bootstrap

Last post by TomDoan « Tue Aug 28, 2012 10:04 pm
Replies: 6
by fabio fornari » Thu Jun 23, 2011 3:42 am

6 Replies

13611 Views

Last post by TomDoan
Tue Aug 28, 2012 10:04 pm
Jump GARCH Replication of Q stats

Last post by TomDoan « Fri Aug 10, 2012 10:33 am
Replies: 3
by spollard777 » Tue Mar 13, 2012 8:08 pm

3 Replies

7508 Views

Last post by TomDoan
Fri Aug 10, 2012 10:33 am
Forecasting ARJI-Garch model

Last post by sana « Mon Aug 06, 2012 6:46 am

by sana » Mon Aug 06, 2012 6:46 am

0 Replies

4382 Views

Last post by sana
Mon Aug 06, 2012 6:46 am
How to interpret the BEKK coefficients

Last post by TomDoan « Thu Aug 02, 2012 9:39 am
Replies: 5
by hardmann » Tue Mar 01, 2011 9:38 am

5 Replies

12378 Views

Last post by TomDoan
Thu Aug 02, 2012 9:39 am
Garch models for stock returns

Last post by GaryM26 « Tue Jul 24, 2012 1:48 pm
Replies: 2
by GaryM26 » Mon Jul 23, 2012 1:38 pm

2 Replies

5687 Views

Last post by GaryM26
Tue Jul 24, 2012 1:48 pm
MS-XGARCH-M

Last post by yanne1224 « Thu Jul 19, 2012 2:23 am
Replies: 2
by yanne1224 » Wed Jul 18, 2012 11:00 am

2 Replies

5979 Views

Last post by yanne1224
Thu Jul 19, 2012 2:23 am
Volatility Spillovers with Bivariate BEKK

Last post by TomDoan « Tue Jun 26, 2012 12:50 pm
Replies: 4
by kian651 » Mon Jun 11, 2012 7:33 pm

4 Replies

9545 Views

Last post by TomDoan
Tue Jun 26, 2012 12:50 pm

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