RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, which estimates univariate GARCH models with day-of-the-week effects.

Language: RATS
Requires: RATS 7.30
Keywords: ARCH-GARCH (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/baillie_bollerslev_jbes1989.zip (application/zip)

Related works:
Journal Article: The Message in Daily Exchange Rates: A Conditional-Variance Tale (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00172

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