f



Garch(1,1) by BEKK need a help.

Hi,
I am trying to perform a multivariate Garch(1,1) model.The
specification of the var-covar matrix is the one proposed by BEKK:

 H(t) = C'C + A'e(t-1)e'(t-1)A + B'H(t-1)B

where:
i)  H= variance of the excess return
ii) C= N x N symmetrix matrix
iii) A and B are= N x N matrices of constant coefficients, and place
restrictions on H(t) in order to ease computations.

We assume:
i) that the variances depend only on lagged squared errors and lagged
conditional variances
ii) that the covariances depend only upon cross-products of lagged
errors and lagged conditional covariances.
Hence we restrict the matrices A and B to be diagonal.

I hope that someone can help me,
Many thanks in advance

0
8/3/2005 10:07:04 AM
comp.soft-sys.matlab 211266 articles. 22 followers. lunamoonmoon (257) is leader. Post Follow

0 Replies
767 Views

Similar Articles

[PageSpeed] 0

Reply:

Similar Artilces:

need help in GARCH (1,1)
I am trying to estimate a set of data using GARCH(1,1) model. is there any example codes can be refered?i have try in the GARCH toolbox but I cant get the estimated data and exact dat ploted.What i get is onli the estimated std deviation.. pls help ...

1 - 1, 1 -1, 1-1, 1
Hi, I have a question regarding lexical analysis. I recently came across a bug in our lexical analyser in phc (www.phpcompiler.org), that I am unsure how to solve. This is the problem: our current definition for integer constant looks something like INT ([1-9][0-9]*)|0 In particular, note that it does not allow for an (optional) "+" or "-" at the start of the integer. This means that the strings "1 - 1", "1 -1" and "1-1" all generate the same sequence of three tokens INT(1), OP(-), INT(1), for which the syntax analyser generates the subtr...

1.1.1.1 ?
hi my firewall logs dropped packets from an internal IP address trying to contact 1.1.1.1 through port 9999. Any ideas whether 1.1.1.1 is valid IP? and what is port 9999?? thanks mike wrote: > hi > > my firewall logs dropped packets from an internal IP address trying to > contact 1.1.1.1 through port 9999. Any ideas whether 1.1.1.1 is valid > IP? and what is port 9999?? > thanks These trojans *BlitzNet*, *Backdoor.Oracle*, *Backdoor.Spadeace* uses port 9999 -- S.S. "StarScripter" <Star@privacy.net> wrote in message news:<bv8ejj$p54t3$1@ID-185702.new...

plot 1, -1, 1, -1, -1
Hi, How to plot those numbers in a rectangle style? thanks x = linspace(-4*pi,4*pi,1000); y = sin(x); plot(x,sign(y)), axis([-12 12 -2 2]) PZ <patrick.zou@gmail.com> wrote in message <d64c545f-f2ac-4f87-af89-051bda896707@x6g2000vbg.googlegroups.com>... > Hi, > > How to plot those numbers in a rectangle style? > > thanks help stairs stairs([-1 1 -1 1 -1 1]) hth Jos ...

GARCH(1,1)
Hi guys I am currently working on the Markov Switching Multifractal model developped by Calvet and Fisher. As the latters did, I would like to compare the forecasting performances of this model with the ones provided by a GARCH(1,1). To do so, I wrote the following algorithm in Maltab for the GARCH(1,1). However, before going further in my projet, I really would like to be sure that the latter is right, could you please have a look on it and tell me if something seems wrong? That would be very nice Code: function [sigmaGARCH]=GARCH_forecast(NavData,InSample,horizon) ...

Help construct a tree 1 -> 1.1 -> 1.2 -> 2 -> 2.1 -> 2.1.1 etc HELP !!!!!!!
Folks I need help. I have a view or(Text file) as follows: '1 2.1 1.1.1 1.1.1.1 2.2.1 1.3 2 Dim Parent() As String Dim Level1() As String Dim Level2() As String Dim Level3() As String etc .. How can I construct a tree. parent, children, grand children etc... and also figure out # of children # of grand children etc Thanks "Mos" <lndebug@gmail.com> wrote in message news:875cd1df-7605-45ab-9f7b-f1edec25d47b@r34g2000vbi.googlegroups.com... > Folks I need help. I have a view or(Text file) as follows: > > '1 > 2.1 > 1.1.1 > 1....

Help construct a tree 1 -> 1.1 -> 1.2 -> 2 -> 2.1 -> 2.1.1 etc HELP !!!!!!!
Folks I need help. I have a view or(Text file) as follows: '1 2.1 1.1.1 1.1.1.1 2.2.1 1.3 2 Dim Parent() As String Dim Level1() As String Dim Level2() As String Dim Level3() As String etc .. How can I construct a tree. parent, children, grand children etc... and also figure out # of children # of grand children etc Thanks "Mos" <lndebug@gmail.com> wrote in message news:875cd1df-7605-45ab-9f7b-f1edec25d47b@r34g2000vbi.googlegroups.com... > Folks I need help. I have a view or(Text file) as follows: > > '1 > 2.1 > 1.1.1 > 1....

Help construct a tree 1 -> 1.1 -> 1.2 -> 2 -> 2.1 -> 2.1.1 etc HELP !!!!!!!
Borland Guru's I need help I have a text file as follows: 1 2 1.1 1.1.1 3.3 2.3 etc I cannot use a control active x tree I need to read this file and 1 is a parent 1.1 is a child of parent 1 and 2 is a parent 2.3 is a child of parent 2 and construct in search a way using arrays or probably a recursive function No xml parsing just read a file. Does any body have a function "Mos" <lndebug@gmail.com> wrote in message news:c1aaeb20-3c1f-408d-9986-bb8d28a87509@s31g2000vbp.googlegroups.com... > I have a text file as follows: > 1 > 2 > 1.1 >...

URGENT: Need 1-on-1 MATLAB programming help in bay area (PAID)
I need 1-on-1 programming help with a matlab simulation urgently (preferably start tonight). I'll pay. Email me at mike_newsgroups@yahoo.com thanks, Mike ...

MA(1)- GARCH (1,1)
Dear all, How do I fit MA(1) -GARCH(1,1) in SAS? Thanks Priyanka ...

Help needed - Safari, Software update and help a mess
(Apologies first for any dupe since this didn't make it to Giganews from original posting via Newguy yesterday afternoon) Hi, Not sure where to start on this oddity. What is the common thread/file that would disable Safari, cause the software update option to stall and say there is no internet connection, and also fumble the Mac Help and give me the attached message when I ask "Where are the safari bookmarks" and then select the lines seen? Suffice it to say that it all started last night after Comcast deleted one of my IP addresses which was a hold over from a previou...

GARCH(1,1)
Hi guys I am currently working on the Markov Switching Multifractal model developped by Calvet and Fisher. As the latters did, I would like to compare the forecasting performances of this model with the ones provided by a GARCH(1,1). To do so, I wrote the following algorithm in Maltab for the GARCH(1,1). However, before going further in my projet, I really would like to be sure that the latter is right, could you please have a look on it and tell me if something seems wrong? That would be very nice Code: function [sigmaGARCH]=GARCH_forecast(NavData,InSample,horizon) ...

Need help with ZSDOS 1.1
I wanted to try a newer version of CPM 2.2, so I downloaded ZSDOS from the web. The version gives the user the ability to run with the embedded DateStamper routines called ZDDOS (but you loose some of the built-in functions), or with an external DateStamper called ZSDOS (and retain the built-in functions). Since I allow the BDOS to hold 4K of code, rather than the standard 3.5K code, I choose to use ZSDOS and include the embedded DateStamper routines. I removed or modified several of the "IF" statements so that I could achieve my objective. It does fit nicely within the 4K space. I ...

Simulation of a GARCH(1,1) in matlab.
Hello. Could you help me with this? I want to simulate a GARCH(1,1) process in matlab. In the model i use i have four dummy variables in the mean equation and constant. Is it possible to make it and if yes how? Thanks a lot ...

Open Transport 1.1.1 help
Hi, I am trying to write a small application for a 68k mac. I'd like it to use ftp or http to connect to a remote server and grab some data. I have Apple's MyDownloadHTTPSimple compiled and 'running.' It hangs on OTRecv and I don't know how to debug it. I tried little endian and big endian address formats for the GET command and the code sails right through until it hits OTRecv. Is there any example code out there I can look at? Is there an ftp or http server example? The more appropriate question may be, does anybody still program 68k machines?! Thanks, Chris On Sep 3, 12:26 am, ch...@communityrenewables.com wrote: > Hi, > > I am trying to write a small application for a 68k mac. I'd like it to > use ftp or http to connect to a remote server and grab some data. > > I have Apple's MyDownloadHTTPSimple compiled and 'running.' It hangs > on OTRecv and I don't know how to debug it. I tried little endian and > big endian address formats for the GET command and the code sails > right through until it hits OTRecv. > > Is there any example code out there I can look at? Is there an ftp or > http server example? The more appropriate question may be, does > anybody still program 68k machines?! > > Thanks, > Chris Okay! All is well. It seems the key was to use Apple's OTSimpleDownloadHTTP example. With a few tweaks, it worked on my 68k mac. Thanks, ...

Java 1.1, 1.31 needed?
Do I need these? If not, is there anything more involved to removing them than to simply kill the directories JAVA11 and JAVA131? Anything in OS2.INI/OS2SYS.INI and/or the registry? -- ------------------------------------------------------------------------ News is the first rough draft of History... War is good for business - invest your son. --antiwar bumper sticker from the 1960s ------------------------------------------------------------------------ Joe Negron from Sheepshead Bay, Brooklyn, NY, USA -- Posted via a free Usenet account from http://www.teranews.com ...

Use the GARCH(1,1) model with the MATLAB
I use the matlab to get a GARCH(1,1)model, the function is that: (vn)2=0.00000034853+0.92322(vn-1)2+0.064376(un-1)2 V stand the volitilty, U stand the return. but i want to get the expected return as well as the standard deviation of the equity returns for the last day of the time series. i know in the MATLAB, the sigmas stand for the volitility, but i am confusing at the expected return. is it the same with the innovation? By the way, the GARCH(0,1) is the same with the arch(1)? ...

HTML on jdk 1.1 need help
Hi, All! Whether instead of somebody knows of components for display or editing html on jdk 1.1? I need a component vith a minimum size. Thakns! On 24 Jun 2004 00:01:13 -0700, faraon325@ukr.net (Igor Chaika) wrote or quoted : > >Whether instead of somebody knows of components for display or editing >html on jdk 1.1? I need a component vith a minimum size. see http://mindprod.com/jgloss/htmlrendering.html check out Calpane. -- Canadian Mind Products, Roedy Green. Coaching, problem solving, economical contract programming. See http://mindprod.com/jgloss/jgloss.html for The Java ...

GARCH(1,1)
Hello, I am trying to estimate the volatility of the euro's exchange rate with the dollar. I have daily closing exchange rates from its inception, 2121 observations. I have two questions. 1. I'm missing closing rates for holidays. Should I delete those days or just leave them blank? 2. How do I apply my data to GARCH. My financial textbook (HULL) says that the GARCH formula is sigma_squared_subn= omega + alpha * u_squared_subn-1 + beta * sigma_squared_subn-1 where u=( S_i - S_i-1)/ S_i-1 and S_i= the closing exchange rate of day i. Can someone please help me find the par...

ERROR IN EXPRESSION; -1 - (-1) not 1
The expression isn't a = 1 - (1-), but: a = -1 - (1) der <der@noemail.com> scribbled the following: > The expression isn't a = 1 - (1-), but: a = -1 - (1) Ah, that's different, then. Then the answer is: The result will be -2. You have *no* guarantees about which of -1 or (1) is evaluated first, but as they don't have side effects, you don't have to care. -- /-- Joona Palaste (palaste@cc.helsinki.fi) ---------------------------\ | Kingpriest of "The Flying Lemon Tree" G++ FR FW+ M- #108 D+ ADA N+++| | http://www.helsinki.fi/~palaste W++ B OP+ | \----------------------------------------- Finland rules! ------------/ "To doo bee doo bee doo." - Frank Sinatra ...

Alignment of foo[1][1][1][1]
Suppose I have type 'foo' and: sizeof (foo) == 16 alignof (foo) == 2 Suppose I have type 'foo[1][1][1][1]' and: sizeof (foo[1][1][1][1]) == 16 Can: alignof (foo[1][1][1][1]) == 4 ? I'd like to think not, but is it prohibited? If I do: typedef foo bar[1][1][1][1]; bar * my_bar = malloc(sizeof *bar); foo * my_foo = (foo *) my_bar; certainly 'my_bar' points to an object whose alignment satisfies type 'foo'. But what about the other way around? typedef foo bar[1][1][1][1]; foo * my_foo = malloc(sizeof *foo); bar * my_ba...

Ip-Address 1.1.1.1
A traceroute to 213.176.224.4 showed following results: # traceroute -In -m10 213.176.224.4 traceroute to 213.176.224.4 (213.176.224.4), 10 hops max, 38 byte packets 1 212.152.136.1 103.658 ms 99.452 ms 109.767 ms 2 212.152.151.2 99.646 ms 99.680 ms 99.821 ms 3 62.218.1.93 99.689 ms 109.665 ms 99.751 ms 4 212.152.192.182 99.762 ms 1359.690 ms 99.718 ms 5 193.203.0.72 104.398 ms 105.014 ms 109.781 ms 6 146.188.2.229 109.696 ms 109.733 ms 99.771 ms 7 146.188.14.113 119.710 ms 199.720 ms 209.720 ms 8 146.188.49.194 119.695 ms 129.663 ms 119.808 ...

Lomboz 3.1.1 plugin not seen in Eclipse 3.1.1
I am facing the same problem. Here are the details OS Windows 2000 JDK 1.42.04 Eclipse 3.1.1 EMF 2.1.0 JEM 1.1 Lomboz 3.1.1 I see 'org.objectweb.lomboz 1.0.0' when I go to Product Configuration. I can enable and disable it without any issues but I do not see the Lomboz options when I go to Windows>Customize Prespective. I tried installing it several times doing it differently every time after reading some posts over the web but none of it has helped. If some one can suggest something that will be of great help. Thanks in advance. On 17 Oct 2005 18:58:06 -0700, surenm@gmail.com...

volume augmented garch(1,1) model in matlab
Actually I want to add volume traded of a stock in my Garch(1,1) model to forecast the volatility.In Matlab I can specify the model as garch(1,1) and then use estimate and forecast commands.But I am not sure how to specify my volume augmented garch(1,1) model in Matlab. Any help on this would be very appreciated. Thanks, Jayadeep Shitole ...

Web resources about - Garch(1,1) by BEKK need a help. - comp.soft-sys.matlab

Time series - Wikipedia, the free encyclopedia
In statistics , signal processing , pattern recognition , econometrics , mathematical finance , weather forecasting , earthquake prediction , ...

C++ - Quantitative Finance Collector
Parameters estimation of GARCH model. [url_nofollow=http://w3.uniroma1.it/passalac/buffer/GARCH.xls]http://w3.uniroma1.it/passalac/buffer/GARCH.xls[/url] ...

Statistical Modeling, Causal Inference, and Social Science
We just released Stan 1.1.1 and RStan 1.1.1 As usual, you can find download and install instructions at: http://mc-stan.org/ This is a patch ...

MOON SUN FINANCE ACADEMIC REFERENCES
MOON SUN FINANCE ACADEMIC REFERENCES MOON SUN FINANCE Moon Sun Finance References In Technical Analysis & Astrology This page gives a listing ...

Derivatives Strategy - April'97: The Jorion-Taleb Debate
The Jorion-Taleb Debate The Q&A in our December/January issue, "The WorldAccording to Nassim Taleb," contained a carefully reasoned attack onValue-at-Risk ...

Is the surge in tax receipts truly extraordinary?
There has been much talk about how the deficit problem has been licked, as tax receipts surge. Is (Lafferian) supply-side economics right? Are ...

What’s gone wrong with democracy - The Economist
This week in The Economist: Saving Ukraine - Protests in Venezuela - Inequality in America - Trust-busting in Mexico - Nigeria’s central bank ...

The RATS Software Forum • Index page
The RATS Software Forum A Forum for RATS Software and Econometrics Discussions Skip to content Advanced search Board index Change font size ...

A focus on the exceptions that prove the rule
The latest UK and international business, finance, economic and political news, comment and analysis from the Financial Times on FT.com

Statistics Terms - Investopedia
Investopedia.com - The Investing Education Site. Includes the most comprehensive investing dictionary on the web as well as articles and tutorials ...

Resources last updated: 2/27/2016 7:17:49 PM