GARCHIMPORT—Monte Carlo Integration of GARCH Model

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

GARCHIMPORT—Monte Carlo Integration of GARCH Model

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GARCHIMPORT.RPF is an example of importance sampling, applied to Monte Carlo integration on a GARCH model.

Detailed Description

haversample.rat
Data file (included in RATS v8 distribution)
(223 KiB) Downloaded 1117 times


Last bumped by TomDoan on Fri Aug 02, 2024 11:52 am.
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