This course uses RATS program to build a volatility model.

I have created an interface for the RATS program. It requires simple 
input from you. Below are some instructions:

*** Copy the interface program ``runrats'' into your GSBMBA directory ***
[You only need to copy it once just like you copy a data file.]

In GSBMBA, to run the interface, simply type

runrats

[The program will ask some simple questions about the data and the 
model you like to estimate. Answer these questions. I shall demonstrate 
it in class.]

The program will create TWO files in your directory. They are 
fort.22 and fort.24.

fort.22 is the runstream for the RATS program

fort.24 is the data file to be read by the RATS program.

You are ready to run the RATS program and to store the output in a file.
Use the command

rats fort.22  output-file-name

You may choose a file name for the output, e.g. out.lis. 
If the output-file-name is omitted, then the output appears on the screen.

======== Demonstration ==========

Suppose that I like to fit an ARCH(1) model for the monthly returns of 
Intel stock. The model is as follows:

(a) mean equation 

r(t) = c0 + a(t)

(b) volatility equation

ht = alpha0 + alpha1 * a(t-1)^2

==========
** Use the interface ``runrats'' to create a command file. 
** The input is marked by <===.

gsbmba% runrats
 data file name: m-intc.dat                <=== data file name
 Number of columns in the data file: 2     <=== 2
 Which column is the return? 1             <=== 1
 Number of data points =   300

 Specification of the mean equation:
 Use a constant term (1=yes): 1            <=== 1
 Menu for the mean equation:
 0 for no AR,;
 1 for AR(1) model,;
 2 for AR(2) model,;
 3 for AR(3) model.

 Your choice: 0                            <=== 0

 Menu for volatility model choice: 
 1 for ARCH models;
 2 for GARCH models;
 3 for ARCH-M models;
 4 for GARCH-M models;
 5 for IGARCH(1,1) models;
 6 for EGARCH models;
 7 for EGARCH-M models;
 8 for Thr-GARCH model;
 9 for Thr-GARCh-M models:

 Your choice of vol. model: 1           <=== 1

 Menu for conditional distribution:
 1 for Gaussian dist.;
 2 for Student-t dist.

 Your choice of distribution: 1         <=== 1
  
 ARCH order: 1                         <=== 1
  
 The run-stream of RATS is in the file fort.22
  
 Use RATS fort.22 to run the RATS program
 
==== To run the RATS program and store the results in ``out.lis''.

gsbmba% rats fort.22 out.lis


==== The output is in the file ``out.lis''.

To see it on the screen, type

type out.lis

You may also print it or transfer it to your PC.