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MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting

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Author Info

  • Tom Doan

    () (Estima)

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Abstract

Forecasts a multi-variate GARCH model, estimated using the GARCH instruction.

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File URL: http://www.estima.com/procs_perl/mvgarchfore.src
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00141.

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Programming language: RATS
Requires: RATS 6.20
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Handle: RePEc:boc:bocode:rts00141

Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
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Web page: http://fmwww.bc.edu/EC/
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Related research

Keywords: Forecasting ARCH-GARCH models;

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