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- Wed Dec 14, 2016 6:15 am
- Forum: Examples and Sample Code
- Topic: Baillie, Bollerslev, Mikkelson(1996) FIGARCH
- Replies: 4
- Views: 11516
running bbmjoe1996-Unknown source for "diagnostic" procedur
Dear Thank you for your help. It works just fine (as I said, I’m not familiar with rats …) However, the code does not estimate the FIGARCH (1,d,1) – that is, the 4th column of table 4 in Baillie et al. (1996). Indeed, the entitled “FIGARCH (1,1) “ in the bbmjoe1996.dat file corresponds to the FIGARC...