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RE: st: FIGARCH ado files?
From
"Faugere, Christophe" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: FIGARCH ado files?
Date
Fri, 20 Aug 2010 17:12:56 -0400
Thanks. I'm actually trying OxMetrics right now, and it looks promising.
________________________________________
From: [email protected] [[email protected]] On Behalf Of Jorge Eduardo Pérez Pérez [[email protected]]
Sent: Friday, August 20, 2010 4:58 PM
To: [email protected]
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
<[email protected]> 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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