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.
| Original language | English |
|---|---|
| Pages | 1-6 |
| Number of pages | 6 |
| Publication status | Published - 1 Jan 2017 |
| Event | 2017 Gretl Conference - Athens Duration: 1 Jan 2017 → … |
Conference
| Conference | 2017 Gretl Conference |
|---|---|
| City | Athens |
| Period | 1/01/17 → … |
Keywords
- Kalman Filter
- Stochastic Volatility
Fingerprint
Dive into the research topics of 'Stochastic Volatility Models in Gretl'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver