RE: st: FIGARCH ado files?

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

Robert;

Thanks. I did try saarch, tarch and GJR-garch but not aparch. I have had convergence issues with some of these. I'll try that. Any econometric reasons to expect the aparch may be better than other threshold models?

Cheers

Christophe  

________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Robert A Yaffee [bob.yaffee@nyu.edu]
Sent: Saturday, August 21, 2010 3:17 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: FIGARCH ado files?

Christophe,
  You should try the Asymmetric Power Garch if you
have those problems first.
  -    Robert

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: "Faugere, Christophe" <CFaugere@uamail.albany.edu>
Date: Friday, August 20, 2010 12:14 pm
Subject: st: FIGARCH ado files?
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>


> 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
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/