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

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Topics

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Rolling GARCH(1,1) forecasts

Last post by TomDoan « Fri Jun 24, 2011 10:50 am
Replies: 1
by ylijohtaja » Wed Jun 22, 2011 11:41 am

1 Replies

5310 Views

Last post by TomDoan
Fri Jun 24, 2011 10:50 am
Code Problems

Last post by sulong « Tue Jun 21, 2011 9:38 am
Replies: 2
by sulong » Sun Jun 19, 2011 8:05 pm

2 Replies

5378 Views

Last post by sulong
Tue Jun 21, 2011 9:38 am
AR(1)-Garch(1,1) Joint Estimation

Last post by TomDoan « Wed Jun 15, 2011 10:11 am
Replies: 6
by Farid » Mon Jun 13, 2011 6:18 am

6 Replies

10819 Views

Last post by TomDoan
Wed Jun 15, 2011 10:11 am
St. errs. changed when re-running MAXIMIZE after convergence

Last post by marinbozic « Tue Jun 14, 2011 1:15 am
Replies: 2
by marinbozic » Mon Jun 13, 2011 12:00 am

2 Replies

5564 Views

Last post by marinbozic
Tue Jun 14, 2011 1:15 am
xregressors in multivariate GARCH

Last post by marinbozic « Mon Jun 13, 2011 11:45 pm

by marinbozic » Mon Jun 13, 2011 11:45 pm

0 Replies

4242 Views

Last post by marinbozic
Mon Jun 13, 2011 11:45 pm
MV-GARCH Diagnostics

Last post by bekar « Sun Jun 05, 2011 10:14 am
Replies: 2
by bekar » Fri Jun 03, 2011 8:48 am

2 Replies

6924 Views

Last post by bekar
Sun Jun 05, 2011 10:14 am
Rolling AR(5)-GARCH(1,1)

Last post by ac_1 « Sat Jun 04, 2011 3:47 pm
Replies: 2
by ac_1 » Sat Jun 04, 2011 10:50 am

2 Replies

5910 Views

Last post by ac_1
Sat Jun 04, 2011 3:47 pm
GARCH: RATS 7.3 and 8.0 giving different results?

Last post by marinbozic « Thu Jun 02, 2011 11:24 am

by marinbozic » Thu Jun 02, 2011 11:24 am

0 Replies

4284 Views

Last post by marinbozic
Thu Jun 02, 2011 11:24 am
Multivariate EGARCH-X with spillovers

Last post by bekar « Thu May 12, 2011 7:23 am
Replies: 11
by bekar » Mon May 09, 2011 11:49 am

11 Replies

14623 Views

Last post by bekar
Thu May 12, 2011 7:23 am
GARCH(1,1) using Max instruction

Last post by TomDoan « Wed May 04, 2011 10:25 am
Replies: 1
by sulong » Mon May 02, 2011 11:30 pm

1 Replies

5246 Views

Last post by TomDoan
Wed May 04, 2011 10:25 am
GARCHUVMAX.RPF

Last post by TomDoan « Wed May 04, 2011 10:17 am
Replies: 3
by sulong » Tue May 03, 2011 2:23 am

3 Replies

7679 Views

Last post by TomDoan
Wed May 04, 2011 10:17 am
a error occur when estimating VECM-GARCH

Last post by huanpipt « Tue May 03, 2011 12:36 pm
Replies: 2
by huanpipt » Mon May 02, 2011 10:33 am

2 Replies

6190 Views

Last post by huanpipt
Tue May 03, 2011 12:36 pm
multiplicative dummy involving squared residuals and varian

Last post by TomDoan « Sat Apr 30, 2011 12:19 pm
Replies: 1
by sulong » Sat Apr 30, 2011 10:55 am

1 Replies

4963 Views

Last post by TomDoan
Sat Apr 30, 2011 12:19 pm
how to select mean equation in MVgarch model?

Last post by hardmann « Wed Apr 27, 2011 7:59 am
Replies: 3
by hardmann » Sun Apr 24, 2011 5:17 am

3 Replies

6374 Views

Last post by hardmann
Wed Apr 27, 2011 7:59 am
regime-switch VAR-GARCH-M

Last post by huanpipt « Tue Apr 26, 2011 12:23 pm
Replies: 7
by huanpipt » Tue Mar 29, 2011 4:46 am

7 Replies

14686 Views

Last post by huanpipt
Tue Apr 26, 2011 12:23 pm
how to select var lag in MVGARCh

Last post by moderator « Mon Apr 25, 2011 2:32 pm
Replies: 1
by hardmann » Sun Apr 24, 2011 1:47 am

1 Replies

5193 Views

Last post by moderator
Mon Apr 25, 2011 2:32 pm
how to estimate likelihood ratio in restricted MVgarch

Last post by TomDoan « Wed Apr 20, 2011 11:44 am
Replies: 1
by hardmann » Wed Apr 20, 2011 9:40 am

1 Replies

4972 Views

Last post by TomDoan
Wed Apr 20, 2011 11:44 am
Forecasting under non-gaussianity

Last post by TomDoan « Tue Apr 12, 2011 2:48 pm
Replies: 1
by nazif » Tue Apr 12, 2011 1:06 pm

1 Replies

4652 Views

Last post by TomDoan
Tue Apr 12, 2011 2:48 pm
GARCH with an ARMA mean equation

Last post by Nai_re_PAOK « Fri Apr 01, 2011 4:16 am
Replies: 4
by Nai_re_PAOK » Thu Mar 31, 2011 10:41 am

4 Replies

7918 Views

Last post by Nai_re_PAOK
Fri Apr 01, 2011 4:16 am
GARCH - constraint

Last post by TomDoan « Fri Mar 25, 2011 12:49 pm
Replies: 15
by saurabhatkekar » Thu Jan 20, 2011 6:48 am
1

2
15 Replies

20556 Views

Last post by TomDoan
Fri Mar 25, 2011 12:49 pm
ARMA-ANN-GARCH model

Last post by TomDoan « Sat Mar 12, 2011 5:10 pm
Replies: 3
by John_Val » Fri Mar 11, 2011 5:24 pm

3 Replies

8659 Views

Last post by TomDoan
Sat Mar 12, 2011 5:10 pm
DCC GARCH and unit roots

Last post by TomDoan « Thu Mar 10, 2011 2:19 pm
Replies: 3
by hashem » Mon Mar 07, 2011 5:59 am

3 Replies

6793 Views

Last post by TomDoan
Thu Mar 10, 2011 2:19 pm
DCC GARCH, different sets of regressors in variance equation

Last post by TomDoan « Wed Mar 09, 2011 2:19 pm
Replies: 1
by rsdeacle » Tue Mar 08, 2011 2:37 pm

1 Replies

5153 Views

Last post by TomDoan
Wed Mar 09, 2011 2:19 pm
Tsay's DCC model

Last post by TomDoan « Tue Jan 25, 2011 8:26 am
Replies: 3
by hashem » Mon Jan 10, 2011 5:09 pm

3 Replies

6762 Views

Last post by TomDoan
Tue Jan 25, 2011 8:26 am
dynamic conditional correlation

Last post by hashem « Mon Jan 24, 2011 9:51 am
Replies: 2
by hashem » Mon Jan 24, 2011 8:51 am

2 Replies

6618 Views

Last post by hashem
Mon Jan 24, 2011 9:51 am

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