RATS program to demonstrate bootstrapping on a multivariate GARCH model

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of bootstrapping for MV GARCH models. This estimates quantiles on bootstrapped 10-day returns using two different MV GARCH models.

Language: RATS
Requires: RATS 7.00
Keywords: ARCH-GARCH; Bootstrapping (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/garchmvbootstrap.rpf (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00179

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