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In article <1992Sep23.205017.25101@fnbc.com>, jja@fnbc.com (Joseph Alotta) writes:
> 
> Does anyone know a software package or a routine that can do GARCH  
> modelling?
> 
> Can someone also recommend some papers I might read?

Several econometric software in the market perform ARCH/GARCH modelling:

1)  TSP 4.2.  This has a command (ARCH) which performs standard
    GARCH(p,q) i.e. with conditional normal density of the error term.

2)  RATS.  Version 3.11 allows one to model univariate GARCH models.
    Version 4.0 (avaiable on PC only for the time being) allows multivariate
    GARCH modelling.  The advantage of RATS over TSP is that it allows
    you to do more "exotic" GARCH-type models, including EGARCH, AGARCH,
    GQARCH etc.  It allow allows you to specify different conditional
    densities.  Unfortunately, the version that I am currently using has
    some bugs in it (notably the log-gamma function), which prevents me
    from using say either a conditional t-distribution or a GED.

In addition, several people have developed FORTRAN programs for specific
GARCH type modelling.  Ken Kroner wrote programs for both univariate and
multivariate GARCH models, while Dan Nelson wrote an EGARCH program.

The literature for ARCH/GARCH is very extensive.  The more important papers
are:

1)  Bera, A.K., and Higgins, M.L. (1992), "A Survey of ARCH Models:
    Properties, Estimation and Testing.", University of Illinois at
    Urbana-Champaign working paper.

2)  Bollerslev, T. (1986), "Generalized Autoregressive Conditional
    Heteroskedasticity", Journal of Econometrics 31, 307-27.

3)  Bollerslev, T., Chou R.Y., Kroner, K.F. (1992), "ARCH Modeling in
    Finance:  A Review of the Theory and Empirical Evidence.", Journal
    of Econometrics 52, 5-59.

4)  Engle, R.F. (1982), "Autoregressive Conditional Heteroscedasticity
    with Estimates of the Variance of U.K. Inflation", Econometrica 50,
    987-1008.

5)  Higgins, M.L., and Bera, A.K. (1992), "A Class of Nonlinear ARCH
    Models.", International Economic Review (can't remember the volume
    and page number).

6)  Nelson, D.B. (1990), "Conditional Heteroskedasticity in Asset
    Returns: A New Approach", Econometrica 59, 347-70.

7)  Pagan, A.R., and Schwert, G.W. (1990), "Alternative Models for
    Conditional Stock Volatility.", Journal of Econometrics 45, 267-90.

Hope the above is useful.

Regards.

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