Estima have released the 6th e-course in their series of e-courses. The latest course is on "ARCH/GARCH and Volatility Models". The course is divided in 2 parts. Roughly half the course concerns the use of the existing GARCH instruction, determining the best specification, handling the estimation and doing tests of the adequacy of the model. The second half examines various extensions to the GARCH framework that require either more general likelihood maximization, simulation methods, or both, with detailed discussions of replications of papers which have been popular downloads by RATS users.
These courses go into much more detail than the main RATS documentation. Each course costs US$50. Courses can be purchased on the Estima website and are e-mailed.
Each course consists of a PDF workbook, RATS programs and data which focusses in detail on one topic. The PDF workbooks are 150 to 300 pages and cover 15-30 useful examples in detail, explaining the RATS instructions used to accomplish the task. When applicable, the relevant theory surrounding a calculation is also provided.