GARCHSEMIPARAM—Semi-parametric GARCH estimation

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

GARCHSEMIPARAM—Semi-parametric GARCH estimation

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GARCHSEMIPARAM.RPF estimates a univariate GARCH(1,1) model with an empirically derived density function for the errors. This is "semi-parametric" because the basic GARCH model has the standard parameterization; this is combined with a non-parametric treatment of the error density.

Detailed Description

g10xrate.xls
Data file (included in RATS v8 distribution)
(1.2 MiB) Downloaded 700 times


Last bumped by TomDoan on Tue Aug 13, 2024 9:33 am.
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