The RATS Software Forum

TomDoan wrote:If you do GARCH(MODEL=mymodel,etc.), you can just do an IMPULSE(MODEL=mymodel,...) instruction. You'd have to pick a covariance matrix or otherwise come up with a set of shocks, since the GARCH model doesn't give you a fixed covariance matrix. But IMPULSE will take care of the dynamics.

luxu1983 wrote: yes i use (model=var) ,my code is

Code: Select all

system(model=var1)
variables dlx dly
lags 1
det constant
end(system)
garch(p=1,q=1,model=var1,mv=bekk)
impulse(model=var1,step=20)

i use the impulse instruction but i can not get de irf.
how to modify the code ?
thank you very much TomDoan

TomDoan wrote:

luxu1983 wrote: yes i use (model=var) ,my code is

Code: Select all

system(model=var1)
variables dlx dly
lags 1
det constant
end(system)
garch(p=1,q=1,model=var1,mv=bekk)
impulse(model=var1,step=20)

i use the impulse instruction but i can not get de irf.
how to modify the code ?
thank you very much TomDoan

You need a PRINT or a RESULTS option on the IMPULSE.

luxu1983 wrote:

TomDoan wrote:

luxu1983 wrote: yes i use (model=var) ,my code is

Code: Select all

system(model=var1)
variables dlx dly
lags 1
det constant
end(system)
garch(p=1,q=1,model=var1,mv=bekk)
impulse(model=var1,step=20)

i use the impulse instruction but i can not get de irf.
how to modify the code ?
thank you very much TomDoan

You need a PRINT or a RESULTS option on the IMPULSE.

need a RESULTS option likes "impulse(model=var1,step=20,result=impulses)"?
but the impulses are all zero
TomDoan you can try it
thank you very much

impulse(model=var1,step=20,result=impulses,factor=%identity(2))

luxu1983 wrote:That goes back to the previous point - because the GARCH model doesn't estimate a fixed covariance matrix, there isn't any obvious choice for the size of the shocks. So you need a FACTOR or SHOCKS option to feed those in. For instance,

Code: Select all

impulse(model=var1,step=20,result=impulses,factor=%identity(2))

will give you unit shocks to each variable.

garch(p=1,q=1,model=var,mv=bekk,rvector=rr,hmatrices=hh)
*i get the  fixed covariance through the standardresid
set standardresid1 = rr(t)(1)/sqrt(hh(t)(1,1))
set standardresid2 = rr(t)(2)/sqrt(hh(t)(2,2))
vcv(matrix=RR)
# standardresid1 standardresid2
impulse(model=var,step=20,result=impulses,decomp=%decomp(RR))

luxu1983 wrote:Yes. That will give you the IRF for the "average" empircal correlation matrix.

luxu1983 wrote:dear sir
how can i calculate the irf if var garch bekk model includes" M" term