RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Bollerslev and Mikkelson(1996), "Modeling and pricing long memory in stock market volatility", Journal of Econometrics, vol 73, pp 151-184. This estimates FIGARCH and FIEGARCH models (fractionally integrated GARCH and fractionally integrated EGARCH)

Language: RATS
Requires: RATS 7.00
Keywords: ARCH-GARCH; Long memory (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/bollerslev_mikkelson_joe1996.zip (application/zip)

Related works:
Journal Article: Modeling and pricing long memory in stock market volatility (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00173

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