STAR-GARCH MODEL

If you are seeking RATS code for implementing a particular technique or replicating results from a paper, post your request here. Be sure to include complete citations for any papers or books.
Post Reply
Panagiotis
Posts: 3
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?
Top
TomDoan
Posts: 7814
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.
Top
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
Top
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?
Top
TomDoan
Posts: 7814
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.
Top
Post Reply

Return to “Looking for Code?”