DCC-FIPAGARCH model

izymougoue2006 · Mon Apr 04, 2016 11:19 am

Dear Tom,

I am desperately and urgently looking for a code to implement/estimate a bivariate DCC-FIPAGARCH model. Can you please help?

TomDoan · Unread post by **TomDoan** » Mon Apr 04, 2016 1:02 pm

Reference?

izymougoue2006 · Thu Apr 07, 2016 5:13 pm

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.

TomDoan · Unread post by **TomDoan** » Thu Apr 07, 2016 5:34 pm

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.

izymougoue2006 · Thu Apr 07, 2016 9:24 pm

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.

TomDoan · Unread post by **TomDoan** » Thu Apr 07, 2016 10:20 pm

No. And for the reason cited, I wouldn't put any effort into it.

The RATS Software Forum