ARCH and GARCH Models

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RATS Version 11.1

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VAR BEKK-GARCH

Last post by TomDoan « Sat Sep 04, 2021 3:57 pm
Replies: 1
by HamaNadia » Sat Sep 04, 2021 12:15 pm

1 Replies

38157 Views

Last post by TomDoan
Sat Sep 04, 2021 3:57 pm
VAR Asymmetric-BEKK GARCH

Last post by HamaNadia « Wed Aug 04, 2021 6:02 pm
Replies: 8
by HamaNadia » Wed Aug 04, 2021 8:31 am

8 Replies

38581 Views

Last post by HamaNadia
Wed Aug 04, 2021 6:02 pm
No convergence in Bivariate GARCH in Mean

Last post by TomDoan « Tue Aug 03, 2021 12:33 pm
Replies: 15
by melkania » Tue Jun 29, 2021 2:28 pm
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15 Replies

71983 Views

Last post by TomDoan
Tue Aug 03, 2021 12:33 pm
Dynamic Conditional Beta

Last post by Narci4269 « Sun May 23, 2021 9:12 pm
Replies: 3
by Narci4269 » Mon Apr 12, 2021 11:58 pm

3 Replies

27754 Views

Last post by Narci4269
Sun May 23, 2021 9:12 pm
Threshold ARCH (TARCH) model

Last post by ac_1 « Fri Apr 30, 2021 8:03 am
Replies: 2
by ac_1 » Wed Apr 28, 2021 3:32 pm

2 Replies

23819 Views

Last post by ac_1
Fri Apr 30, 2021 8:03 am
Volatility Spillover results interpretation BEKK

Last post by curiousresearcher « Wed Apr 14, 2021 9:13 pm
Replies: 8
by ek95 » Fri Dec 20, 2019 8:40 am

8 Replies

29081 Views

Last post by curiousresearcher
Wed Apr 14, 2021 9:13 pm
dealing with missiing data (time series)

Last post by TomDoan « Fri Apr 09, 2021 7:56 am
Replies: 1
by curiousresearcher » Thu Apr 08, 2021 2:34 am

1 Replies

8869 Views

Last post by TomDoan
Fri Apr 09, 2021 7:56 am
DCC GARCH with t distribution and Maximize

Last post by Narci4269 « Thu Mar 04, 2021 1:31 pm
Replies: 6
by Narci4269 » Sun Feb 14, 2021 11:53 am

6 Replies

13401 Views

Last post by Narci4269
Thu Mar 04, 2021 1:31 pm
VAR AGARCH model (optimal weight, hedge ratio and Hedging )

Last post by ndanila « Wed Feb 24, 2021 1:43 am
Replies: 16
by Imranyousaf09 » Thu Apr 11, 2019 2:23 pm
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Last post by ndanila
Wed Feb 24, 2021 1:43 am
Multivariate GARCH with optimum Hedge in mean

Last post by Narci4269 « Tue Feb 16, 2021 9:03 am
Replies: 2
by Narci4269 » Tue Feb 09, 2021 10:50 am

2 Replies

7974 Views

Last post by Narci4269
Tue Feb 16, 2021 9:03 am
Identification of VIRFs

Last post by Jules89 « Tue Jan 05, 2021 3:14 pm

by Jules89 » Tue Jan 05, 2021 3:14 pm

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Last post by Jules89
Tue Jan 05, 2021 3:14 pm
Structure Break in Variance Equation of MGARCH

Last post by prashantj « Fri Dec 18, 2020 12:15 pm
Replies: 28
by prashantj » Wed Dec 09, 2020 10:44 pm
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28 Replies

31555 Views

Last post by prashantj
Fri Dec 18, 2020 12:15 pm
negative coefficients of ARCH terms in MGARCH-BEKK

Last post by prashantj « Wed Dec 02, 2020 7:26 pm
Replies: 39
by prashantj » Sat Apr 05, 2014 11:48 pm
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39 Replies

55309 Views

Last post by prashantj
Wed Dec 02, 2020 7:26 pm
Regarding standard errors in GIRF for VAR-GARCH model

Last post by TomDoan « Wed Nov 11, 2020 9:58 pm
Replies: 1
by Owen Wang » Mon Jan 06, 2020 7:25 am

1 Replies

6767 Views

Last post by TomDoan
Wed Nov 11, 2020 9:58 pm
VAR-GARCH-M GIRF

Last post by TomDoan « Wed Oct 28, 2020 3:26 pm
Replies: 1
by dcano » Tue Sep 22, 2020 5:42 pm

1 Replies

5921 Views

Last post by TomDoan
Wed Oct 28, 2020 3:26 pm
GARCH w/ dummy variance

Last post by dcano « Tue Sep 22, 2020 5:36 pm

by dcano » Tue Sep 22, 2020 5:36 pm

0 Replies

5316 Views

Last post by dcano
Tue Sep 22, 2020 5:36 pm
VAR-GARCH-M square

Last post by dcano « Thu Sep 17, 2020 10:27 pm
Replies: 2
by dcano » Tue Sep 15, 2020 6:46 pm

2 Replies

5533 Views

Last post by dcano
Thu Sep 17, 2020 10:27 pm
command for Ljung-Box test Q2 (20)

Last post by TomDoan « Fri Aug 07, 2020 12:18 pm
Replies: 5
by curiousresearcher » Wed Aug 05, 2020 7:04 am

5 Replies

11185 Views

Last post by TomDoan
Fri Aug 07, 2020 12:18 pm
GARCH Ecourse: SVAR-GARCH Question

Last post by e1983 « Fri Jul 31, 2020 8:25 pm
Replies: 4
by e1983 » Thu Jul 30, 2020 4:08 pm

4 Replies

7607 Views

Last post by e1983
Fri Jul 31, 2020 8:25 pm
Covariance matrix of DCC-GARCH parameter estimates

Last post by TomDoan « Mon Jul 27, 2020 9:19 pm
Replies: 5
by Jules89 » Mon Jun 22, 2020 8:11 am

5 Replies

8444 Views

Last post by TomDoan
Mon Jul 27, 2020 9:19 pm
Confusion on how total spillover relationship by bekk garch

Last post by TomDoan « Sat Jul 25, 2020 1:12 pm
Replies: 1
by curiousresearcher » Fri Jul 24, 2020 3:45 pm

1 Replies

5368 Views

Last post by TomDoan
Sat Jul 25, 2020 1:12 pm
Rolling-VAR-MGARCH-M

Last post by hasanov « Thu Jul 02, 2020 10:58 am
Replies: 53
by hasanov » Sat Sep 01, 2018 10:40 am
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53 Replies

71902 Views

Last post by hasanov
Thu Jul 02, 2020 10:58 am
Some theoritical queries related to BEKK GARCH

Last post by TomDoan « Thu Jun 11, 2020 8:08 pm
Replies: 1
by curiousresearcher » Sun Jun 07, 2020 9:45 am

1 Replies

5728 Views

Last post by TomDoan
Thu Jun 11, 2020 8:08 pm
BEKK model with VAR (1)

Last post by TomDoan « Thu Jun 11, 2020 9:38 am
Replies: 3
by upani » Thu Jun 11, 2020 6:17 am

3 Replies

6453 Views

Last post by TomDoan
Thu Jun 11, 2020 9:38 am
Number of variables should be included in GARCH-BEKK

Last post by hasanov « Fri Jun 05, 2020 7:06 am
Replies: 2
by lendraniestiko01 » Fri May 22, 2020 10:16 pm

2 Replies

5968 Views

Last post by hasanov
Fri Jun 05, 2020 7:06 am

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