GARCH Estimation by Importance Sampling

[TomDoan]

This estimates a univariate GARCH model using Monte Carlo integration with importance sampling. A closely related example which does Metropolis-Hastings is provided at http://www.estima.com/forum/viewtopic.php?f=8&t=1608. In practice, it's probably easier to get the Metropolis-Hastings method working properly.

garchimport.rpf

Program file (included in RATS v8 distribution)

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haversample.rat

Data file (included in RATS v8 distribution)

(223 KiB) Downloaded 46 times