G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models
By Sébastien-Yves Laurent, J. Peters. 2001
164 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/8bf400d6758b6e6d7cf59eef128ef045c3e2c957
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- P. Giot
- Christian Conrad
- Berthold R. Haag
- Sébastien-Yves Laurent
- Stavros Degiannakis *
- Esther Ruiz
- Menelaos Karanasos
- R. Brooks
In Management Science and Operations Research
- Christian Conrad
- P. Giot
- Berthold R. Haag
- Sébastien-Yves Laurent
- Perry Sadorsky
- Christopher Krauss
- H. Manner
- Michael Wolf
Citations in the corpus
- Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency (2012, unknown): “All models will be estimated by using the quasi-maximum-likelihood method as implemented by Laurent and Peters (2002) in the G@RCH package for Ox, which allows us to draw robust inference even if the return data are non-Gaussian.”
- Value-at-Risk for long and short trading positions (2003, methodology): “…2.2, an Ox package with a friendly dialog-oriented interface designed for the estimation and forecast of various univariate ARCH-type models (see Laurent and Peters, 2002).13 The data together with the programs used in the paper can be obtained by contacting the second author or downloaded from…”
- Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements (2005, unknown): “A forecast of volatility is generated for 17 October 2001 based on the estimated model for the 7In this paper a program for estimating the parameters of the GARCH model is written in Ox, the programming environment of Doornik (2001), using functions of the G@RCH package of Laurent and Peters (2002).”
- Inequality Constraints in the Fractionally Integrated GARCH Model (2006, methodology): “These conditions are validated in programs such as the G@RCH package for Ox developed by Laurent and Peters (2002).”
- Measuring Downside Risk - Realised Semivariance (2008, unknown): “The ARCH models fitted in this paper were computed using G@ARCH 5.0, the package of Laurent and Peters (2002) .”