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
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