Package |
Archive Type |
Description |
||
| GARCH | Zip | Stuffit | Estimate standard GARCH models using numerical maximum likelihood. | |
| AGARCH | Zip | Stuffit | Estimate GARCH models from "All in the family: Nesting symmetric and asymmetric GARCH models." | |
| NNIGN | Zip | Stuffit | Estimate GARCH models from "No news is good news: An Asymmetric model of changing volatility in stock returns." | |
After downloading the archives, decompress them (see below), and install the functions somewhere on the Gauss search path. Do this either by placing the functions in a directory on the current path, or by updating the path.
The functions are minimally documented in ReadMe files included in the archives. Files with extension .PRG are programs that call other functions. When trying to use the code, it is best to start with these files. All of the programs should run using the sample data included in the archives.
All archives have been compressed using Zip or Stuffit and
require the appropriate decompression software. Free copies of
Stuffit
Expander are available from Aladdin Systems. Zip utilities can be obtained from Targetfour but Stuffit Expander can also
decompress Zip archives.
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