Chan & Maheu, JBES 2002 (Jump GARCH model)

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Chan & Maheu, JBES 2002 (Jump GARCH model)

Postby TomDoan » Fri Aug 10, 2012 10:17 am

These are replication files for Chan and Maheu(2002), "Conditional Jump Dynamics in Stock Market Returns", Journal of Business and Economic Statistics, vol 20, no. 3, 377-389. This estimates GARCH models with added Poisson jump processes with either fixed or "ARJI" Poisson probabilities. The ARJI-GARCH model was introduced in this paper to allow the jump probabilities to be time-varying using an ARMA-like model. The JUMPGARCH.SRC file includes functions which evaluate the log likelihood for a single time period given the GARCH variance, the Poisson mean of the jump process and the mean and variance of the jumps. The calculation done here is slightly different from the one described in the paper it computes the probabilities of the Poisson conditional on an upper bound on the number of jumps, while the calculations done in the paper use the standard Poisson integrating constant for the sums to infinity. The conditional calculation is more stable numerically.

jumpgarch.rpf
Program with fixed Poisson probablities
(6.11 KiB) Downloaded 346 times

arjigarch.rpf
Program with ARJI Poisson probabilities
(7.41 KiB) Downloaded 302 times

jumpgarch.src
Supporting procedure
(3.27 KiB) Downloaded 301 times

djia.txt
Data file
(1.28 MiB) Downloaded 602 times
TomDoan
 
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Re: Chan & Maheu, JBES 2002 (Jump GARCH model)

Postby irfansystem » Sun Aug 12, 2012 6:28 am

I get an error while running the program:
## OP3. This Instruction Does Not Have An Option TIT
>>>>@westchotest(title=<<<<
## OP3. This Instruction Does Not Have An Option TIT
>>>>@westchotest(title=<<<<

I had dowloaded the procedure of westchotest from the estima website.
Thank you for the support!!
irfansystem
 
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Re: Chan & Maheu, JBES 2002 (Jump GARCH model)

Postby TomDoan » Mon Aug 13, 2012 10:28 am

There's a newer version of @WestChoTest at

http://www.estima.com/forum/viewtopic.php?f=7&t=1458
TomDoan
 
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Re: Chan & Maheu, JBES 2002 (Jump GARCH model)

Postby irfansystem » Fri Aug 17, 2012 5:32 pm

Yet another error!!

## OP3. This Instruction Does Not Have An Option GRO
>>>>panel(group=<<<<

I searched for the keyword panel on estima website but could not find anything relative to the function used in this program.
Thanks in advance!!
irfansystem
 
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Re: Chan & Maheu, JBES 2002 (Jump GARCH model)

Postby TomDoan » Sat Aug 18, 2012 10:18 am

Read the comment:

* For doing graphs with year labels. This divides each year into equally
* spaced values in the range [year,year+1). (This uses features added
* with RATS 8.1
. To do the graphs without the year labeling, replace
* SCATTER with GRAPH and take CODEDDATE off the supplementary cards in
* all three SCATTER instructions in this group).
TomDoan
 
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Re: Chan & Maheu, JBES 2002 (Jump GARCH model)

Postby irfansystem » Mon Aug 20, 2012 5:29 pm

Thank you Tom!!
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