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Re: st: (E)GARCH models with GED distribution


From   "F. Gao" <gaofaye@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: (E)GARCH models with GED distribution
Date   Wed, 4 May 2005 22:27:41 -0500

Gray,

I know eviews can do it. The simpliest way is to choose the correct
pull down menu. It has been empirically established that using GED or
t-distribution does not make a lot of differences in terms of
coefficients estimates. Also the test using fat tailed distribution
often reject the hypothesis that the error comes from such a
distribution. For more, see Hentschel (1995) Journal of Financial
Economics.

Faye

On 5/2/05, gary tian <g.tian@uws.edu.au> wrote:
> Dear all, Does any one know if ther is any stata program which can run
> (E)GARCH model with generilised error distribution with fixed parameter,
> thanks. Gary
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Richard
> Williams
> Sent: Tuesday, 3 May 2005 9:05 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Question about ML
> 
> At 01:23 PM 5/2/2005 -0400, Cameron Hooper wrote:
> >Hi
> >
> >I have a question about using the -ml- command.  I've had a look at the
> >reference manual, but it's a bit over my head.  I've seen the book about
> >ML available from Stata, but I thought someone on this list might be able
> >to help me out.
> 
> Cameron, I don't think it is clear what the question is.  Are you just
> asking "How do I write a program to do this" or is there a more specific
> question you have in mind?
> 
> I found that I had pretty good luck copying large chunks of the code from
> the ML book verbatim.  The tricky part, I think, is writing the likelihood
> evaluator and the other code that is unique to your problem.
> 
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