Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: FIGARCH ado files?

From   "Faugere, Christophe" <>
To   "" <>
Subject   st: FIGARCH ado files?
Date   Fri, 20 Aug 2010 12:13:04 -0400


I am running a basic GARCH(1,1) model of daily observations for the SP500' earnings yield against Treasury yields. My coefficients violate the stationarity condition of covariance. I tried GJR-GARCH and GARCH models with various lag structures, in the end with the same problem. I have two questions:

1) Is it legitimate to force the coefficients (L1.arch +L1.garch) to sum to 1?  Even though the sum is greater (but close) to 1, say 1.02; and each coefficient is significant at the 99% level. Essentially assuming an IGARCH(1,1).

2) Does anyone know about any FIGARCH ado files available in Stata?

*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index