GARCHIMPORT: RATS program to demonstrate importance sampling with GARCH model

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of Monte Carlo integration on a GARCH model using importance sampling.

Language: RATS
Requires: RATS 11.00
Keywords: GARCH model; Importance sampling (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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