RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models
Replication 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)
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