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DCC-FIPAGARCH model
Posted: Mon Apr 04, 2016 11:19 am
by izymougoue2006
Dear Tom,
I am desperately and urgently looking for a code to implement/estimate a bivariate DCC-FIPAGARCH model. Can you please help?
DCC-FIPAGARCH model
Posted: Mon Apr 04, 2016 1:02 pm
by TomDoan
Reference?
DCC-FIPAGARCH model
Posted: Thu Apr 07, 2016 5:13 pm
by izymougoue2006
Dear Tom:
The DCC-FIAPARCH I am looking for is used in the following article:
Dimitrios Dimitriou, Dimitris Kenourgios, & Theodore Simos "Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach" International Review of Financial Analysis 30 (2013) 46–56
Thank you.
DCC-FIPAGARCH model
Posted: Thu Apr 07, 2016 5:34 pm
by TomDoan
I'm very skeptical about any work done with FI-GARCH models of any form unless the authors have tested the sensitivity to the method of computing the fractional integration. Different truncation points can lead to completely different results.
Re: DCC-FIPAGARCH model
Posted: Thu Apr 07, 2016 9:24 pm
by izymougoue2006
Dear Tom,
I fully understand your skepticism. That being said, can you still please let me whether there is a RATS code/program that be used to can estimate such a model in its most basic form/specification? I truly appreciate your help with this matter.
Re: DCC-FIPAGARCH model
Posted: Thu Apr 07, 2016 10:20 pm
by TomDoan
No. And for the reason cited, I wouldn't put any effort into it.