The RATS Software Forum

Dear Tom,
I am interested in to examine the asymmetry of the volatility response to news. Hence, i want to use diagnostic tests as suggested by Engle and Ng(1993) for sign and size bias. could you please guide me and give me RATS instruction?

Thanks,

See the endersp158.rpf example in the Enders textbook examples.

TomDoan wrote:See the endersp158.rpf example in the Enders textbook examples.

Hi Tom,

I am trying to test if there is asymmetric response in the volatility of the stock returns I am considering. I could not find the file you mentioned in this post, could you help me find an example of a program I can use for such purpose?

Thanks a lot

That was a reference to an Enders 3rd edition example. In the fourth, the similar example is enders4p158.rpf.

TomDoan wrote:That was a reference to an Enders 3rd edition example. In the fourth, the similar example is enders4p158.rpf.

Hi Tom, thanks a lot for your help.
I think i am a bit confused, after I import my time series of returns, which part of the code should i refer to for the test?

Many thanks

Those are tests on the standardized residuals from a GARCH estimation.