Semi-parametric GARCH estimation

[TomDoan]

The attached program estimates a univariate GARCH(1,1) model with an empirically derived density function for the errors. This is "semi-parametric" because the basic GARCH model has the standard parameterization; this is combined with a non-parametric treatment of the error density. This has been revised for more flexible handling of the support of the density in case the tails are even fatter than the ones in this example.

garchsemiparam.rpf

Program file

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g10xrate.xls

Data file (included in RATS v8 distribution)

(1.2 MiB) Downloaded 56 times