ARCH and GARCH Models

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RATS Version 11.1

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Topics

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Conducting a LB-Q test in a GARCH model using MAXIMIZE

Last post by TomDoan « Tue Jun 12, 2012 10:08 am
Replies: 3
by Masafumi » Thu Jun 07, 2012 3:58 pm

3 Replies

7161 Views

Last post by TomDoan
Tue Jun 12, 2012 10:08 am
IRF from VAR-BEKK

Last post by FaeK « Tue May 22, 2012 6:21 pm
Replies: 4
by FaeK » Mon May 14, 2012 5:20 pm

4 Replies

9748 Views

Last post by FaeK
Tue May 22, 2012 6:21 pm
Various two-step DCC models

Last post by TomDoan « Tue Dec 13, 2016 8:59 am
Replies: 26
by TomDoan » Thu Aug 05, 2010 1:48 pm
1

2
26 Replies

46533 Views

Last post by TomDoan
Tue Dec 13, 2016 8:59 am
VAR-GARCH BEKK and irf

Last post by TomDoan « Tue May 15, 2012 10:50 am
Replies: 20
by luxu1983 » Thu Aug 13, 2009 12:18 pm
1

2
20 Replies

30915 Views

Last post by TomDoan
Tue May 15, 2012 10:50 am
How to get the ideal result in a FIEC-HYGARCH Model?

Last post by u8810137 « Sat May 12, 2012 9:43 am
Replies: 13
by u8810137 » Thu May 03, 2012 2:21 am

13 Replies

18661 Views

Last post by u8810137
Sat May 12, 2012 9:43 am
Flexible Handling of Multivariate Mean Model

Last post by TomDoan « Fri May 11, 2012 11:55 am

by TomDoan » Fri May 11, 2012 11:55 am

0 Replies

5826 Views

Last post by TomDoan
Fri May 11, 2012 11:55 am
extra explanatory variable in DCC-Garch model

Last post by TomDoan « Mon May 07, 2012 10:23 am
Replies: 1
by sana » Mon May 07, 2012 4:14 am

1 Replies

4851 Views

Last post by TomDoan
Mon May 07, 2012 10:23 am
Forecasting with a ARIMA/GARCH Model

Last post by rmvoller « Tue May 01, 2012 2:16 pm
Replies: 4
by rmvoller » Wed Apr 11, 2012 4:25 pm

4 Replies

8222 Views

Last post by rmvoller
Tue May 01, 2012 2:16 pm
assymteric in BEKK model

Last post by TomDoan « Thu Apr 26, 2012 7:52 am
Replies: 1
by chiade » Thu Apr 26, 2012 2:45 am

1 Replies

4777 Views

Last post by TomDoan
Thu Apr 26, 2012 7:52 am
MGARCH and Robust option

Last post by TomDoan « Sun Apr 22, 2012 6:44 pm
Replies: 1
by amcqeen » Sun Apr 22, 2012 10:14 am

1 Replies

4228 Views

Last post by TomDoan
Sun Apr 22, 2012 6:44 pm
BEKK with Dummy

Last post by Niko « Mon Apr 16, 2012 4:37 am

by Niko » Mon Apr 16, 2012 4:37 am

0 Replies

4403 Views

Last post by Niko
Mon Apr 16, 2012 4:37 am
Nonlinear combinations of BEK parameters

Last post by TomDoan « Mon Apr 09, 2012 1:04 pm
Replies: 1
by willb » Mon Apr 09, 2012 9:42 am

1 Replies

4365 Views

Last post by TomDoan
Mon Apr 09, 2012 1:04 pm
Panel GARCH-in-mean

Last post by nikosant « Mon Apr 09, 2012 9:18 am

by nikosant » Mon Apr 09, 2012 9:18 am

0 Replies

7448 Views

Last post by nikosant
Mon Apr 09, 2012 9:18 am
BEKK and xreg

Last post by avalokita « Sat Apr 07, 2012 4:08 am
Replies: 5
by maathews » Fri Mar 16, 2012 3:51 pm

5 Replies

17521 Views

Last post by avalokita
Sat Apr 07, 2012 4:08 am
goodness of fit measures for different garch models

Last post by TomDoan « Thu Mar 29, 2012 12:18 pm
Replies: 21
by anozman » Tue Mar 06, 2012 6:15 pm
1

2
21 Replies

34746 Views

Last post by TomDoan
Thu Mar 29, 2012 12:18 pm
logmvskew

Last post by TomDoan « Sat Mar 24, 2012 12:42 pm
Replies: 5
by chiade » Wed Mar 21, 2012 4:11 am

5 Replies

8763 Views

Last post by TomDoan
Sat Mar 24, 2012 12:42 pm
N/A

Last post by IMALX7 « Tue Mar 20, 2012 1:35 pm
Replies: 3
by IMALX7 » Mon Mar 19, 2012 12:28 pm

3 Replies

6079 Views

Last post by IMALX7
Tue Mar 20, 2012 1:35 pm
Another Generating Garch Data Question

Last post by TomDoan « Thu Mar 15, 2012 10:39 am
Replies: 3
by elizamcginley » Wed Mar 14, 2012 11:00 am

3 Replies

5824 Views

Last post by TomDoan
Thu Mar 15, 2012 10:39 am
Generating Data for a Garch Model

Last post by TomDoan « Sun Mar 11, 2012 5:46 pm
Replies: 1
by elizamcginley » Sun Mar 11, 2012 8:37 am

1 Replies

5585 Views

Last post by TomDoan
Sun Mar 11, 2012 5:46 pm
MV garch model w assymetry + spillovers

Last post by chiade « Fri Mar 09, 2012 1:51 am

by chiade » Fri Mar 09, 2012 1:51 am

0 Replies

4294 Views

Last post by chiade
Fri Mar 09, 2012 1:51 am
multivariate garch time-trend in correlation equation

Last post by TomDoan « Mon Feb 27, 2012 10:35 am
Replies: 1
by bkoksal » Mon Feb 27, 2012 9:38 am

1 Replies

4355 Views

Last post by TomDoan
Mon Feb 27, 2012 10:35 am
Q stat DCC GARCH

Last post by moderator « Fri Feb 10, 2012 11:07 am
Replies: 7
by aymenbelgacem » Wed Feb 08, 2012 3:18 pm

7 Replies

10418 Views

Last post by moderator
Fri Feb 10, 2012 11:07 am
How to combine BEKK and EGARCH

Last post by TomDoan « Tue Feb 07, 2012 12:02 pm
Replies: 1
by huanpipt » Mon Feb 06, 2012 9:41 pm

1 Replies

4951 Views

Last post by TomDoan
Tue Feb 07, 2012 12:02 pm
MULTIVARIATE ARCH AND JARQUE-BERA TESTS

Last post by mmkubilay « Tue Jan 31, 2012 3:32 pm
Replies: 13
by mmkubilay » Mon Jan 23, 2012 12:40 pm

13 Replies

16838 Views

Last post by mmkubilay
Tue Jan 31, 2012 3:32 pm
GARCH with asymmetric volatility

Last post by timkrause « Fri Jan 27, 2012 12:31 am
Replies: 2
by timkrause » Wed Jan 25, 2012 8:53 pm

2 Replies

5265 Views

Last post by timkrause
Fri Jan 27, 2012 12:31 am

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