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st: Spline Garch Model
From
Gabriel Nicolás Michelena <[email protected]>
To
[email protected]
Subject
st: Spline Garch Model
Date
Mon, 31 Jan 2011 12:34:40 -0300 (ART)
Hi Statalisters,
Actually im working on the commodities volatility, and im really interested in the measure of long run volatility estimation proposed by Robert Engle ( http://economics.ucr.edu/seminars/fall05/econometrics/JoseGonzaloRangel12-9-05.pdf ). This is the spline garch model, and i didnt find the necesary program to run it in Stata or another package like Oxmetrics. Someone tried it before? Is there some ado for Stata?
I will aprecciate any help
Best Regards
--- Lic. Gabriel Michelena
Centro de Economía Internacional. Ministerio de
Relaciones Exteriores, Comercio Internacional y Culto Esmeralda 1212 - 2° Piso -
Oficina 201 Ciudad Autónoma de Buenos Aires
( C1007ABR ) Argentina
Tel: (+5411) 4819-7000. Interno
7485
Fax: (+5411) 4819-7484
URL: http://www.cei.gob.ar/
E-mail: [email protected]
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