RE: st: FIGARCH ado files?

["Faugere, Christophe" <CFaugere@uamail.albany.edu>]

Thanks. I'm actually trying OxMetrics right now, and it looks promising. 

________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jorge Eduardo Pérez Pérez [perez.jorge@ur.edu.co]
Sent: Friday, August 20, 2010 4:58 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: FIGARCH ado files?

I don't know about FIGARCH in Stata, but you could use different
software or you could translate those codes to Stata.

1) The free version of OxMetrics supports FIGARCH estimation. There's
also an interface to link OxMetrics to R and program the whole thing
in R.

2) In RATS's example files, you can find the code to estimate a FIGARCH(1,1)


_______________________
Jorge Eduardo Pérez Pérez



On Fri, Aug 20, 2010 at 12:13 PM, Faugere, Christophe
<CFaugere@uamail.albany.edu> wrote:
> Hi;
>
> I am running a basic GARCH(1,1) model of daily observations for the SP500' earnings yield against Treasury yields. My coefficients violate the stationarity condition of covariance. I tried GJR-GARCH and GARCH models with various lag structures, in the end with the same problem. I have two questions:
>
> 1) Is it legitimate to force the coefficients (L1.arch +L1.garch) to sum to 1?  Even though the sum is greater (but close) to 1, say 1.02; and each coefficient is significant at the 99% level. Essentially assuming an IGARCH(1,1).
>
> 2) Does anyone know about any FIGARCH ado files available in Stata?
>
> Thanks
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