RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models
AbstractReplication file for Bollerslev and Mikkelson(1996), "Modeling and pricing long memory in stock market volatility", Journal of Econometrics, vol 73, pp 151-184. This estimates FIGARCH and FIEGARCH models (fractionally integrated GARCH and fractionally integrated EGARCH)
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00173.
Programming language: RATS
Requires: RATS 7.00
Date of creation:
Date of revision:
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
Other versions of this item:
- Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 151-184, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If references are entirely missing, you can add them using this form.