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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Modelling GARCH (1,1)

Last post by TomDoan « Mon Apr 20, 2009 3:30 pm
Replies: 1
by Aktar » Fri Apr 17, 2009 5:20 am

1 Replies

5083 Views

Last post by TomDoan
Mon Apr 20, 2009 3:30 pm
question about NO CONVERGENCE

Last post by TomDoan « Fri Mar 27, 2009 10:10 am
Replies: 1
by jingran » Thu Mar 26, 2009 9:07 pm

1 Replies

7428 Views

Last post by TomDoan
Fri Mar 27, 2009 10:10 am
Multivariate GARCH (MV=EWMA)

Last post by TomDoan « Tue Mar 24, 2009 10:48 am
Replies: 1
by mike80 » Mon Mar 23, 2009 8:39 am

1 Replies

5757 Views

Last post by TomDoan
Tue Mar 24, 2009 10:48 am
Q0

Last post by garchrookie « Wed Mar 11, 2009 8:43 pm
Replies: 2
by garchrookie » Wed Mar 11, 2009 11:34 am

2 Replies

5890 Views

Last post by garchrookie
Wed Mar 11, 2009 8:43 pm
xregressors, DCC, CC

Last post by TomDoan « Tue Mar 10, 2009 12:01 pm
Replies: 1
by garchrookie » Tue Mar 10, 2009 10:35 am

1 Replies

6246 Views

Last post by TomDoan
Tue Mar 10, 2009 12:01 pm
M-GARCH, Intercepts of Mean Equations = Sample means?

Last post by TomDoan « Mon Mar 09, 2009 9:17 am
Replies: 1
by garchrookie » Sun Mar 08, 2009 8:16 am

1 Replies

7100 Views

Last post by TomDoan
Mon Mar 09, 2009 9:17 am
MGARCH restrictions

Last post by TomDoan « Wed Feb 25, 2009 11:27 am
Replies: 1
by amcqeen » Mon Feb 23, 2009 3:09 pm

1 Replies

6449 Views

Last post by TomDoan
Wed Feb 25, 2009 11:27 am
In RATS, Any specification tests for GARCH and MGARCH?

Last post by TomDoan « Thu Jan 29, 2009 11:13 am
Replies: 1
by garchrookie » Thu Jan 29, 2009 1:50 am

1 Replies

6409 Views

Last post by TomDoan
Thu Jan 29, 2009 11:13 am
MGARCH: Do I impose restrictions manually?

Last post by TomDoan « Thu Jan 29, 2009 11:10 am
Replies: 1
by garchrookie » Thu Jan 29, 2009 2:05 am

1 Replies

6509 Views

Last post by TomDoan
Thu Jan 29, 2009 11:10 am
Multi-collinearity in the the GARCH-X models?

Last post by TomDoan « Thu Jan 29, 2009 11:03 am
Replies: 1
by garchrookie » Thu Jan 29, 2009 3:03 am

1 Replies

6567 Views

Last post by TomDoan
Thu Jan 29, 2009 11:03 am
VAR-GARCH(1,1) BEKK

Last post by TomDoan « Tue Jan 27, 2009 9:03 am
Replies: 1
by amcqeen » Mon Jan 26, 2009 11:51 pm

1 Replies

6999 Views

Last post by TomDoan
Tue Jan 27, 2009 9:03 am
Initial parameter values

Last post by TomDoan « Fri Jan 02, 2009 3:17 pm
Replies: 1
by Anja » Mon Nov 24, 2008 10:50 am

1 Replies

6772 Views

Last post by TomDoan
Fri Jan 02, 2009 3:17 pm
VARMA-GARCH

Last post by ccw9796 « Thu Nov 20, 2008 9:02 pm
Replies: 2
by ccw » Sat Jun 16, 2007 9:24 pm

2 Replies

10164 Views

Last post by ccw9796
Thu Nov 20, 2008 9:02 pm
Where are the correlation coefficients in the DCC model?

Last post by TomDoan « Tue Nov 11, 2008 9:53 am
Replies: 3
by nikosant » Sun Nov 02, 2008 7:19 am

3 Replies

10290 Views

Last post by TomDoan
Tue Nov 11, 2008 9:53 am
Forecasting using an EGARCH-M

Last post by TomDoan « Wed Oct 22, 2008 9:42 am
Replies: 1
by Socrates_plato » Tue Oct 21, 2008 8:27 pm

1 Replies

7281 Views

Last post by TomDoan
Wed Oct 22, 2008 9:42 am
Exogenous variables in DCC model

Last post by dec3fc « Tue Aug 19, 2008 12:04 pm

by dec3fc » Tue Aug 19, 2008 12:04 pm

0 Replies

6433 Views

Last post by dec3fc
Tue Aug 19, 2008 12:04 pm
A Sad Tale of Homemade Forecasts

Last post by Gregory « Wed Aug 13, 2008 3:37 pm

by Gregory » Wed Aug 13, 2008 3:37 pm

0 Replies

6662 Views

Last post by Gregory
Wed Aug 13, 2008 3:37 pm
Multivariate Garch-X

Last post by Anja « Tue Aug 12, 2008 11:06 am

by Anja » Tue Aug 12, 2008 11:06 am

0 Replies

6383 Views

Last post by Anja
Tue Aug 12, 2008 11:06 am
Including Asymmetries Under the GARCH Instruction

Last post by Gregory « Tue Aug 05, 2008 2:49 pm
Replies: 1
by Gregory » Mon Aug 04, 2008 3:43 pm

1 Replies

7185 Views

Last post by Gregory
Tue Aug 05, 2008 2:49 pm
Error: ## MAT15. Subscripts Too Large or Non-Positive

Last post by TomDoan « Fri May 30, 2008 9:39 am
Replies: 1
by bkoksal » Fri May 30, 2008 3:39 am

1 Replies

11404 Views

Last post by TomDoan
Fri May 30, 2008 9:39 am
Markov Switching GJR-GARCH-M?

Last post by TomDoan « Thu May 22, 2008 4:28 pm
Replies: 1
by mjchang68 » Thu May 22, 2008 2:48 am

1 Replies

8430 Views

Last post by TomDoan
Thu May 22, 2008 4:28 pm
SWARCH Forecast

Last post by cuneyt « Mon Dec 17, 2007 4:37 am

by cuneyt » Mon Dec 17, 2007 4:37 am

0 Replies

7516 Views

Last post by cuneyt
Mon Dec 17, 2007 4:37 am
Problem with boxjenk and garch, rats closes

Last post by moderator « Fri Dec 07, 2007 12:22 pm
Replies: 2
by rotweiller » Wed Dec 05, 2007 3:47 pm

2 Replies

9164 Views

Last post by moderator
Fri Dec 07, 2007 12:22 pm
Bayes GARCH

Last post by tamila « Mon Jul 16, 2007 4:00 am

by tamila » Mon Jul 16, 2007 4:00 am

0 Replies

7298 Views

Last post by tamila
Mon Jul 16, 2007 4:00 am
GARCH Forecasting Using @MVGarchFore

Last post by Gregory « Fri Dec 15, 2006 5:50 pm
Replies: 2
by Gregory » Mon Nov 27, 2006 3:52 pm

2 Replies

12112 Views

Last post by Gregory
Fri Dec 15, 2006 5:50 pm

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