🚀 go-pugleaf

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

Well, you just need a nonlinear maximisation routine.  I do lots of GARCH
stuff (including multivariate versions) using the RATS (regression and time
series) package which is an extremely powerful, yet not too expensive,
econometrics package with an inbuilt high level programming language.  (I
run it on workstations and Macs, but PC and mainframe versions are also
available.)  But you could use anything that will allow you to maximise a
user supplied objective function.

If you want to start out on Generalised AutoRegresssive Conditional
Heteroescadiscity models, then you must read the survey in the Journal of
Econometrics about a year ago.  (Sorry, don't have the exact ref at hand at
the moment.  The whole issue of this journal consisted of ARCH models in
finance.  EMail me if you can't find it.)  This considerably updates the
survey published in Econometric Reviews in 1986.

Rob

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Rob Trevor  Associate Professor, Australian Graduate School of Management
            University of New South Wales
            PO Box 1, Kensington, NSW, AUSTRALIA    2033

Internet:  robt@agsm.unsw.edu.au  or  R.Trevor@unsw.edu.au

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