Fractionally Integrated Models for Volatility: A Review - Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH
16 Pages Posted: 1 Feb 2011
Date Written: January 31, 2011
Abstract
This is the empirical appendix accompanying the work by Fantazzini (2011) and not reported in the published version due to space limits. It describes some examples with R interfaced with the Ox package G@RCH and American stock market data.
Keywords: Fractionally Integrated Models, GARCH, EGARCH, Threshold-GARCH, APARCH, IGARCH, FIGARCH, FIEGARCH, FIAPARCH, HYGARCH
JEL Classification: C22, C51, C52
Suggested Citation: Suggested Citation
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