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st: FIGARCH ado files?


From   "Faugere, Christophe" <CFaugere@uamail.albany.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: FIGARCH ado files?
Date   Fri, 20 Aug 2010 12:13:04 -0400

Hi;

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?

Thanks
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