GARCHSEMIPARAM: RATS program to demonstrate univariate GARCH with nonparametric density

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Estimation of univariate GARCH model with semi-parametric handling of the density of the error process.

Language: RATS
Requires: RATS 11.00
Keywords: ARCH-GARCH; Non-parametric estimation (search for similar items in EconPapers)
Date: 2026-01-02
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