RATS programs to replicate Hansen's GARCH models with time-varying t-densities

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication of Bruce Hansen (1994), "Autoregressive Conditional Density Estimation",International Economic Review, vol 35, no. 3, pp 705-730. This estimates GARCH models with student t errors with time-varying degrees of freedom, and introduces the skew-t density.

Language: RATS
Requires: RATS 7.30
Keywords: ARCH-GARCH; with; student-t; errors (search for similar items in EconPapers)
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Downloads: (external link)
https://www.estima.com/procs_perl/hansen_ier1994.zip (application/zip)

Related works:
Journal Article: Autoregressive Conditional Density Estimation (1994)
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