Baillie, Bollerslev, Mikkelson(1996) FIGARCH

[TomDoan]

This is a replication for Baillie, Bollerslev and Mikkelson(1996), "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, vol 74, pp 3-30, which introduced the FIGARCH model. The more complicated FIEGARCH model of Bollerslev and Mikkelson is shown at http://www.estima.com/forum/viewtopic.php?f=8&t=767.

figarch.rpf

Program file

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bbmjoe1996.dat

Data file

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