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st: (E)GARCH models with GED distribution

From   "gary tian" <[email protected]>
To   <[email protected]>
Subject   st: (E)GARCH models with GED distribution
Date   Tue, 3 May 2005 11:34:09 +1000

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: [email protected]
[mailto:[email protected]]On Behalf Of Richard
Sent: Tuesday, 3 May 2005 9:05 AM
To: [email protected]
Subject: Re: st: Question about ML

At 01:23 PM 5/2/2005 -0400, Cameron Hooper wrote:
>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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