G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models

S»bastien Laurent and Jean-Philippe Peters
Authors registered in the RePEc Author Service: Jean-Philippe Peters (jppeters@deloitte.lu) and Sébastien Laurent

No 123, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: This paper discusses and documents G@RCH 2.0, an Ox package dedicated to the estimation and forecasting of various univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of the conditional variance and an AR(FI)MA specification of the conditional mean. These models can be estimated by approximate (quasi-) maximum likelihood under four assumptions: normal, Student-t, GED, or skewed Student errors. Explanatory variables can enter both the conditional-mean and the conditional-variance equations. One-step-ahead (density) forecasts of both the conditional mean and variance are available as well as some misspecification tests and several graphical techniques.

Keywords: (Density-) Forecasts; GARCH; Asymmetry; Long Memory; Ox; Econometric Software; Financial Time Series (search for similar items in EconPapers)
JEL-codes: C13 C22 C87 (search for similar items in EconPapers)
Date: 2001-04-01
References: Add references at CitEc
Citations: View citations in EconPapers (38)

Downloads: (external link)
http://www.eaa.egss.ulg.ac.be/rogp/peters/papers.html main text (text/html)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.eaa.egss.ulg.ac.be:80 (No such host is known. )

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:123

Access Statistics for this paper

More papers in Computing in Economics and Finance 2001 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum (baum@bc.edu).