GARCH Estimation by Importance Sampling
Posted: Wed Sep 05, 2012 1:09 pmThis 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 45 times