The RATS Software Forum

I have a panel data on real exchange rate series( data on 14 countries from 2001Q1 to 2015Q1).I require conditional variance estimates of real exchange rate series for my work.Kindly let me know the codes for running panel garch in rats and also to retrieve the series of conditional variance estimates.

Regards,
Sanjeev

See https://estima.com/forum/viewtopic.php?f=11&t=715. However, I wouldn't expect much with 61 observations of quarterly data---GARCH effects at the quarterly frequency tend to be extremely weak.