<P>This book documents <a href="mailto:G@RCH" target="_blank" >G@RCH</A> 4.0, an OxMetrics application dedicated to the estima-<br>tion and forecast of univariate ARCH-type models (Engle, 1982), including some of<br>themostrecentcontributionsinthisfield. GARCH(Bollerslev,1986),EGARCH(Nel-<br>son, 1991), GJR (Glosten, Jagannathan, and Runkle, 1993), APARCH (Ding, Granger,<br>and Engle, 1993), IGARCH (Engle and Bollerslev, 1986), RiskMetrics (J.P.Morgan,<br>1996), FIGARCH (Baillie, Bollerslev, and Mikkelsen, 1996a and Chung, 1999), FIE-<br>GARCH (Bollerslev and Mikkelsen, 1996), FIAPARCH (Tse, 1998) and HYGARCH<br>(Davidson,2001)specificationsareavailablefortheconditionalvariance. Moreoveran<br>AR(FI)MA process can be specified in the conditional mean (see Baillie, Chung, and<br>`<br>Tieslau, 1996b, Tschernig, 1995, Teyssiere, 1997, or Lecourt, 2000, for further details<br>about ARFIMA models). All these models can be adapted to add an “ARCH-in-mean”<br>term inthe conditional mean as suggested by Engle, Lilien, and Robbins (1987).<br>Our software has been developed with the Ox matrix programming language of<br>1<br>Doornik (2001). <a href="mailto:G@RCH" target="_blank" >G@RCH</A> 4.0 should be compatible with a lot of platforms, including<br>Windows,Linux,UnixandSolariswhenitisusedincombinationwiththeOxConsole.<br>Furthermore, <a href="mailto:G@RCH" target="_blank" >G@RCH</A> 4.0 provides a menu-driven graphical interface for Microsoft<br>Windows users as well as a comprehensive HTML documentation. For most of the<br>specifications, it is generally very fast and one of its main characteristic is its ease of<br>use.<br>Overview of the <a href="mailto:G@RCH" target="_blank" >G@RCH</A> book<br>This book isstructured as follows:<br>* This chapter introduces the <a href="mailto:G@RCH" target="_blank" >G@RCH</A> software.<br>* Chapter 2 explains how to get started with <a href="mailto:G@RCH" target="_blank" >G@RCH</A>.<br>* Chapter3proposesanoverviewofthepackagefeaturesandapresentationofthe<br>simple ARCH model. Comments over estimation procedures (parameters con-<br>straints, distributions, standard deviation estimation methods, tests, forecasting<br>procedures and accuracy of the package) are also reviewed.<br>* Chapter 4 presents more sophisticated ARCH-type models as well as more ad-<br>vanced estimation techniques.<br>1<br>Foracomprehensive review ofthislanguage, seeCribari-Netoand Zarkos(2003).<br>* Then,Chapter5explainshotoestimatethesemodelsusingboththeBatcheditor<br>of GiveWin and the Ox programming language. Several illustrations are also<br>provided.<br>* After a brief summary of the concept of Value-at-Risk (VaR), Chapter 6 shows<br>how the package can be used to forecast the VaR and test the adequacy of the<br>selected models.<br>* Finally,thestructureandthefunctionsoftheOxpackagearedetailedinChapter<br>7.</P>
<P>响应论坛要求，尽量使用出售贴</P>
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<P>主要软件已经更新到OX4，<br>The <a href="mailto:G@RCH" target="_blank" >G@RCH</A> package requires Ox 4.04.</P><br>

[此贴子已经被作者于2006-9-29 22:00:39编辑过]