Baillie, Bollerslev, Mikkelson(1996) FIGARCH
Posted: Thu Aug 30, 2012 4:17 pmThis 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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