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Re: st: FIGARCH ado files?


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: FIGARCH ado files?
Date   Sat, 21 Aug 2010 15:17:42 -0400

Christophe,
  You should try the Asymmetric Power Garch if you
have those problems first.  
  -    Robert

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: "Faugere, Christophe" <CFaugere@uamail.albany.edu>
Date: Friday, August 20, 2010 12:14 pm
Subject: st: FIGARCH ado files?
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>


> 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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