RATS programs to replicate Hansen's GARCH models with time-varying t-densities
Tom Doan ()
Statistical Software Components from Boston College Department of Economics
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.
Requires: RATS 7.30
Keywords: ARCH-GARCH; with; student-t; errors (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Journal Article: Autoregressive Conditional Density Estimation (1994)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rtz00086
Ordering information: This software item can be ordered from
Access Statistics for this software item
More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Series data maintained by Christopher F Baum ().