The RATS Software Forum

omid_ie wrote:Dear Friends;
I am trying to run BEKK (std) , BEKK (diag. ) models for log-return oil prices & HS300 index. (bi-variate) according to table 6 of Prof. McAleer and Prof. Chang paper:
http://ideas.repec.org/p/kyo/wpaper/743.html
So I run this code in RATS 8.0 for BEKK (std):

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open data Y1_O_A.xls
data(format=xls,org=columns) / O A
compute gstart=2,gend=2276
garch(p=1,q=1,mv=bekk,pmethod=simplex,piters=5,hmatrices=bekkhh, rvectors=bekkrv) gstart gend O A

I got this result :

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MV-GARCH, BEKK - Estimation by BFGS

Log Likelihood                     12215.6569

    Variable                        Coeff      Std Error      T-Stat      Signif
************************************************************************************
1.  Mean(1)                       0.000283340  0.000400013      0.70833  0.47874139
2.  Mean(2)                       0.000664793  0.000280385      2.37100  0.01774018
3.  C(1,1)                        0.002027994  0.000343817      5.89846  0.00000000
4.  C(2,1)                       -0.000395421  0.000278227     -1.42122  0.15525376
5.  C(2,2)                       -0.000296307  0.000793017     -0.37365  0.70866801
6.  A(1,1)                        0.207104417  0.016768757     12.35061  0.00000000
7.  A(1,2)                       -0.045891094  0.010128710     -4.53079  0.00000588
8.  A(2,1)                        0.032267832  0.023867324      1.35197  0.17638590
9.  A(2,2)                        0.210708054  0.015582838     13.52180  0.00000000
10. B(1,1)                        0.973169654  0.004569885    212.95277  0.00000000
11. B(1,2)                        0.011234222  0.003081176      3.64608  0.00026627
12. B(2,1)                       -0.004411685  0.005757129     -0.76630  0.44349814
13. B(2,2)                        0.975466541  0.003366010    289.79906  0.00000000

Now, I have these questions and appreciate if somebody can help

1. How can I get AIC criteria?

omid_ie wrote: 2. how can I get conditional correlations? (to plot the graph, and export it as jpg/png ) (I know that I should use hmatrices and rvectors , so I assigned a variable to them in the models but dont know how to do next steps!)

omid_ie wrote: 3. in the original paper, the are using triangular BEKK , is there any trick to convert std. to triangular?
I tried to use this code( which is introduced by Mr.TOM here http://www.estima.com/forum/viewtopic.php?f=11&t=495) Then I failed! :

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compute n=2
dec packed vat(n,n) vbt(n,n)
dec packed vct(n,n)
dec rect   var(n,n) vbr(n,n)
compute vat=sqrt(.05)*%identity(n),vbt=sqrt(.45)*%identity(n)
compute vct=%decomp(rr)

nonlin(parmset=tbekkparms) vct vat vbt
FUNCTION %%TBEKKInit
local integer i j
compute vcs=%ltouterxx(vct)
ewise vbr(i,j)=%if(j>=i,vbt(i,j),0.0)
ewise var(i,j)=%if(j>=i,vat(i,j),0.0)
END
frml hf = vcs+%mqform(h{1},vbr)+%mqform(uu{1},var)
maximize(title="Triangular BEKK",start=%%TBEKKInit(),parmset=meanparms+tbekkparms,$
  method=bfgs,iters=400,pmethod=simplex,piters=5) logl gstart gend

because : rr is not introduced! ( actually in that code it is for initial setup parameters for MAXIMIZE code)

omid_ie wrote: 4.Then what is C in the table 6 first colmn.?
5.is Mean (1) the same as AR ?
6.is mean (2) the same as MA?

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graph(other options)

## OP3. This Instruction Does Not Have An Option OTH
>>>>graph(other <<<<

omid_ie wrote:Dear Tom;

I used this code:

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open data Main.xls
data(format=xls,org=columns) / Opec Shenzen
compute gstart=2,gend=2354
garch(p=1,q=1,mv=bekk,pmethod=simplex,piters=5,hmatrices=bekkhh, MVHSERIES=bekkHmatrix, rvectors=bekkrv) gstart gend Opec Shenzen

set ccorr %regstart() %regend() = %cvtocorr(bekkhh)(1,2)
open copy x12.xls
copy(data,format=xls,org=columns)  /bekkHmatrix

open copy x11.xls
copy(data,format=xls,org=columns)  /bekkrv

Now, I think these are my variables:
1. bekkHmatrix is H(t) {variance-covariance Matrix)

omid_ie wrote: 2. ccorr is Conditional correlations (?? is this true? maybe it is covariance of HMATRICES not correlation? )

omid_ie wrote: *the help of RATS says:
Note that HMATRICES and MVHSERIES save the same information, just in different variable types.
but as I am checking my ccorr and bekkHmatrix(2,1) are not the same!

omid_ie wrote: 3. bekkrv is supposed to give me residuals. (but gives me error!!- I am sure I should use SET, but couldnt figure it out !)

omid_ie wrote: also whats is STDRESIDS option? what this gives me and has difference with rvectors.

omid_ie wrote:Dear Tom;

I checked several times , the ETA is not normally distributed! it looks like normal but has skewness, so as I checked it follows Logistic distribution.
I was wondering maybe something wrong!
I really appreciate, if you can help me to access the residuals.

best regards

omid_ie wrote:Dear Tom;

I am using Standard residuals to estimate Copula.
when I am using Univariate-garch, then finding standard residuals.using these standard residuals for estimating copula gives me reasonable results.
but ETA's from BEKK GARCH doesn't give me any reasonable results. Thats why I think something is not working right!