[Gretl-users] rolling GARCH
Dear Users,
For those of you that are interested in running a (simple) rolling GARCH,
please find attached the rolling GARCH package. Credit to Makis
Kirgiafinis.
regards
Theo
--
Theodore Panagiotidis
University of Macedonia
Thessaloniki, Greece
& Research Associate HO, LSE <https://www.lse.ac.uk/Hellenic-Observatory>
Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/>
GooglePage
<https://sites.google.com/view/prof-theodore-panagiotidis/bio?authuser=0>
Attachments:
- attachment.htm (text/html — 1.5 KB)
- rolling_garch_p_q.gfn (application/octet-stream — 18.1 KB)