CHANMAHEUJBES2002: RATS program to estimate Jump GARCH models with fixed and varying jump intensities

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Chan and Maheu(2002), "Conditional Jump Dynamics in Stock Market Returns", JBES, vol 20, no. 3, 377-389. This does constant and time-varying intensity (ARJI) models.

Language: RATS
Requires: RATS 10.00
Keywords: Jump; GARCH (search for similar items in EconPapers)
Date: 2025-12-29
Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://estima.com/procedures/chanmaheujbes2002.zip (application/zip)

Related works:
Journal Article: Conditional Jump Dynamics in Stock Market Returns (2002)
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