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RE: st: FIGARCH ado files?

From   "Faugere, Christophe" <>
To   "" <>
Subject   RE: st: FIGARCH ado files?
Date   Sat, 21 Aug 2010 15:20:41 -0400


Thanks. I did try saarch, tarch and GJR-garch but not aparch. I have had convergence issues with some of these. I'll try that. Any econometric reasons to expect the aparch may be better than other threshold models?



From: [] On Behalf Of Robert A Yaffee []
Sent: Saturday, August 21, 2010 3:17 PM
Subject: Re: st: FIGARCH ado files?

  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



----- Original Message -----
From: "Faugere, Christophe" <>
Date: Friday, August 20, 2010 12:14 pm
Subject: st: FIGARCH ado files?
To: "" <>

> 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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