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.
Lingua originale | Inglese |
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Pagine | 1-6 |
Numero di pagine | 6 |
Stato di pubblicazione | Pubblicato - 1 gen 2017 |
Evento | 2017 Gretl Conference - Athens Durata: 1 gen 2017 → … |
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???event.eventtypes.event.conference??? | 2017 Gretl Conference |
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Città | Athens |
Periodo | 1/01/17 → … |
Keywords
- Kalman Filter
- Stochastic Volatility