STAR-GARCH MODEL

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Panagiotis
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Joined: Tue Jun 25, 2013 10:25 am

STAR-GARCH MODEL

Unread post by Panagiotis »

I would like to apply STAR-GARCH model. Is that possible in RATS? And if yes which is the procedure I should follow?
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TomDoan
Posts: 7822
Joined: Wed Nov 01, 2006 4:36 pm

Re: STAR-GARCH MODEL

Unread post by TomDoan »

TSAYP185.RPF is an example of a STAR-ARCH. A STAR-GARCH would be similar.
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Panagiotis
Posts: 3
Joined: Tue Jun 25, 2013 10:25 am

Re: STAR-GARCH MODEL

Unread post by Panagiotis »

Dear Tom,

Thank you for the direct response. I will check it.

Regards,

Panagiotis
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Panagiotis
Posts: 3
Joined: Tue Jun 25, 2013 10:25 am

Re: STAR-GARCH MODEL

Unread post by Panagiotis »

Just a quick question. Is there any similar code for ST-GARCH model?
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TomDoan
Posts: 7822
Joined: Wed Nov 01, 2006 4:36 pm

Re: STAR-GARCH MODEL

Unread post by TomDoan »

No. I don't think I've ever seen a convincing (real-world) example of its use.
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Brc
Posts: 21
Joined: Thu Jun 20, 2024 5:16 pm

Re: STAR-GARCH MODEL

Unread post by Brc »

Hello Dear Tom,

I'm seaching for TSAYP185.RPF file to apply STAR-GARCH model; however, I could not find the file. Can you please guide me to find it. Thank you very much.

Best regards.
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TomDoan
Posts: 7822
Joined: Wed Nov 01, 2006 4:36 pm

Re: STAR-GARCH MODEL

Unread post by TomDoan »

It's now tsay3p185.rpf. (We changed the naming system to include the edition in the textbook examples).
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