求助:有哪些软件可以计算ARFIMA,FIGARCH模型

以下是引用fj102在2005-9-17 1:54:43的发言：

just correct something, Long memory models in fact incorporate both stationary and nonstationary process that is , when d=0 or d=1. Depend on the values you estimate.

Again, long memory is not just for long time dependent. In fact, when you have mixed data like mixed unit root and stationary data, long memory will play an important role in it. For example, monthly inflation data,output growth data, daily stock index data exchange rate data. Sometimes, even for most unit root test, it may misspecify the long memory process as unit root process.

Well, first, do not forget about low power and size distortion among unit roots tests.

Second, the purpose of models with time series analysis, especially in ad hoc method, is mainly on forecast.

If a model or some econometric skill neither incorporate theories well nor forecast reasonably and acceptably, why do we need pay "more" attention on them? Besides, computation cost is always the first in practical.

As you have said, the purpose of the time series modelling is to forecast. So how precise your forecast is depends on how good your model is. Hence developing and finding a better model is most important step during our empirical research.

In fact, there are two groups of research experts. One group is most focus on the theoretical analysis, devoting to the theoretical models. The other group concentrates on the application of the models, that is empirical analyst.

For macroeconomists, they try to model and provide the empirical evidence for monetary policy-making. For financial analyst, they mainly concern with the effect of exogeneous factors, not just time series modelling. In fact, time series models only capture the properties of data itself without any economic meaning.

About the computation cost, sometimes you have no way to avoid it for empirical works. Especially for a new model

大家说的都有道理，只是现在搞理论或实证离不开正版软件，在我国花钱买正版计量软件的高校不到20所，实质上这是对经济学的不重视，是一种悲哀。

you can select

G@RCH 4.0 for GiveWin (Robust)

BaillieBW1996 for WinRats 6.1 (free, but you must install WinRats 6.1)

Fanpac MT 2 for Gauss

Gaussx 7.0

FinMetrics 2.0 for S-plus 7.0

TSMod 4.13 for Ox professional 3.4 (Robust)

Matrixer 5.1 (free, good packages. you can download from http://matrixer.narod.ru/)

You can use Metrixer 5.1 and BaillieBW1996 for WinRats 6.1.

注意，计算ARFIMA,FIGARCH模型先得检验时间序列是否存在长期记忆

以下是引用hkswen在2005-10-13 19:51:04的发言： 注意，计算ARFIMA,FIGARCH模型先得检验时间序列是否存在长期记忆

According to hkswen's statement, Long memory effect must be tested by some statistics.

For example, in general, KPSS, GPH, GSE, Lo's R/S, R/V, etc.

In general, Fractionally integrated process can be tested by ARFIMA-FIGARCH model.

我也很想知道，最好哪位大师发一个专题，以解偶心中之惑

贡献就是力量

S－PLUS的Finmetrics模块很好用，你可以试试

gemini69 发表于 2005-9-17 01:29
以下是引用秋日私语在2005-9-17 1:01:23的发言：

你好，我最近在做有关波动率预测的论文，请问使用EVIEWS如何进行FIGARCH模型的建模呢？恳请指点一二