non-generic fractional GARCH variants

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vmadhavan
Posts: 7
Joined: Thu Jun 30, 2011 9:58 am

non-generic fractional GARCH variants

Unread post by vmadhavan »

Are there inbuilt RATS procedures that would help in replicating the following paper on non-generic fractional GARCH variants that helps in discerning between spurious and true long memory?

True or spurious long memory in volatility: Further evidence on the energy futures markets
Energy Policy
Charfeddine, 2014
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: non-generic fractional GARCH variants

Unread post by TomDoan »

Have you tried contacting the author? That should always be the first stop.

I'm not convinced about any type of FIGARCH model. The results are far too dependent upon the choice of truncation point for the expansion of the fractional terms.
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