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<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>
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<P> 65270.rar (1.18 MB, 需要: 100 个论坛币) 本附件包括：

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2006-9-26 16:14:00 上传

G@RCH4 手册
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</P>
<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]

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关键词：Book RCH distribution illustration Contribution documents including

买了，谢谢！

谢谢您的支持，本书来之不易。

希望大家多交流

书作者的网页为http://www.core.ucl.ac.be/~laurent/G@RCH/site/default.htm

但是本书介绍的更系统

我早有了，G@rch4.0正版软件用起来还是很爽的，我主要用它做value at risk.

[此贴子已经被作者于2006-9-26 17:59:13编辑过]

1. Introduction

1.1 G@RCH
1.2 General Information
1.3 Installing and Running G@RCH 4.2

2. Getting Started

2.1 Starting G@RCH
2.2 Loading and Viewing the Tutorial Data Set
2.3 OxMetrics Graphics

3. Features and Package

3.1 Visual Inspection
3.2 Prelimenary Graphics
3.3 Prelimenary Tests
3.4 Conditional Mean Specification
3.5 Conditional Variance Specification: the ARCH Model
3.6 Estimation
3.7 Graphics
3.8 Misspecification Tests
3.9 Parameters Constraints
3.10 Forecasts
3.11 Further Options

4. Further GARCH Models

4.1 GARCH Model
4.2 EGARCH model
4.3 GJR Model
4.4 APARCH Model
4.5 IGARCH Model
4.6 RiskMetrics
4.7 Fractionally Integrated Models
4.8 Forecasting the Conditional Variance of GARCH-type models
4.9 Constrained Maximum Likelihood and Simulated Annealing
4.10 Accuracy of G@RCH

5. Estimating ARCH-type models using the Batch and Ox Versions

5.1 Using the "Batch Version"
5.2 Importing the G@RCH Class in Ox
5.3 Advanced Ox Usage
5.4 G@RCH and OxGauss

6. Value-at-Risk (VaR) estimation using G@RCH

6.1 VaR Models
6.2 Application

7. Realized Volatility and Intraday Seasonality

7.1 Introduction to diffusion models
7.2 Integrated Volatility
7.3 Realized Volatility
7.4 Microstructure Noise
7.5 Intraday Seasonality

8. Structure of the Program

8.1 Classes and Functions
8.2 Garch Member Functions
8.3 G@RCH Members Functions

References
Index

买了，看看

物有所值，软件是免费的，本电子书是正本软件代的

物有所值，软件是免费的

这本书是不错，但只有console版的软件是免费的，功能有限。

console版本功能也不错，就是在界面方面与pro版本有差别

因此console基本上将pro的主要功能也实现了