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

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

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

Fantazzini, Dean, Fractionally Integrated Models for Volatility: A Review - Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH (January 31, 2011). Available at SSRN: https://ssrn.com/abstract=1752095 or http://dx.doi.org/10.2139/ssrn.1752095

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

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