Gretl allows to perform a wade variety of GARCH models by the gig package, but it doesn’t allow to perform directly Stochastic Volatility models yet. This paper suggest how to implement these models by means of the new Gretl’s Kalman Filter.
Stochastic Volatility Models in Gretl
CHIRICO, Paolo
2017-01-01
Abstract
Gretl allows to perform a wade variety of GARCH models by the gig package, but it doesn’t allow to perform directly Stochastic Volatility models yet. This paper suggest how to implement these models by means of the new Gretl’s Kalman Filter.File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
SV.pdf
file ad accesso aperto
Descrizione: Articolo principale
Tipologia:
Documento in Post-print
Licenza:
Dominio pubblico
Dimensione
138.64 kB
Formato
Adobe PDF
|
138.64 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
