Search found 2 matches
- Tue Oct 20, 2015 8:20 am
- Forum: Examples and Sample Code
- Topic: Bollerslev and Mikkelson(1996) FIEGARCH Model
- Replies: 22
- Views: 37659
Re: Bollerslev and Mikkelson(1996) FIEGARCH Model
You would replace linreg r # constant r{1 2 3} with linreg r # constant Everything else follows from that. Did you read the caution about how long it takes to estimate this model? Firstly, thank you for the quick reply. Intuitively, I had already thought of doing such a replacement and I am also aw...
- Tue Oct 20, 2015 7:24 am
- Forum: Examples and Sample Code
- Topic: Bollerslev and Mikkelson(1996) FIEGARCH Model
- Replies: 22
- Views: 37659
Re: Bollerslev and Mikkelson(1996) FIEGARCH Model
Hello,
I know this may seem to be trivial, but as a new user to RATS, I am having difficulties evaluating the fiegarch model without the AR terms- which may be a better model given my data set.
Is there a way to do this?
Looking forward to your response and thanking you in anticipation.
I know this may seem to be trivial, but as a new user to RATS, I am having difficulties evaluating the fiegarch model without the AR terms- which may be a better model given my data set.
Is there a way to do this?
Looking forward to your response and thanking you in anticipation.