The RATS Software Forum • GARCHIMPORT—Monte Carlo Integration of GARCH Model

Page 1 of 1

GARCHIMPORT—Monte Carlo Integration of GARCH Model

Posted: Fri Aug 02, 2024 11:52 am

by TomDoan

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 991 times