Panel GARCH
Posted: Tue Jul 09, 2019 4:31 am
Hi,
I am Anthony and I have not used RATS for several years and I can say that I am not good in RATS programming. However, because I find RATS very useful for my research I start using it again and hope to improve my programming skills in the near future. My question is the following:
How can I get variance (diagonal) and correlations (off-diagonal) graphs in the case of panel GARCH (section 8.2, and example program 8.1, of the e-course rats book related to ARCH/GARCH and volatility)? In other words, I need to obtain graphs like those provided on page 94 of the e-course in the case of Diagonal VECH Model (section 5.4.1 of the e-course book).
I tried to generate the H matrix but I could not. Can also someone provide me some bibliographical resources on this subject (matrix generation and manipulation etc).
I will greatly appreciate any help.
Thanks in advance
Anthony
I am Anthony and I have not used RATS for several years and I can say that I am not good in RATS programming. However, because I find RATS very useful for my research I start using it again and hope to improve my programming skills in the near future. My question is the following:
How can I get variance (diagonal) and correlations (off-diagonal) graphs in the case of panel GARCH (section 8.2, and example program 8.1, of the e-course rats book related to ARCH/GARCH and volatility)? In other words, I need to obtain graphs like those provided on page 94 of the e-course in the case of Diagonal VECH Model (section 5.4.1 of the e-course book).
I tried to generate the H matrix but I could not. Can also someone provide me some bibliographical resources on this subject (matrix generation and manipulation etc).
I will greatly appreciate any help.
Thanks in advance
Anthony