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RATS programs to replicate Hansen's GARCH models with time-varying t-densities


  • Tom Doan

    () (Estima)


Replication of Bruce Hansen (1994), "Autoregressive Conditional Density Estimation",International Economic Review, vol 35, no. 3, pp 705-730. This estimates GARCH models with student t errors with time-varying degrees of freedom, and introduces the skew-t density.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00086
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    ARCH-GARCH with student-t errors;


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