Analytic Moments for GARCH processes

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jaduwel
Posts: 2
Joined: Tue Jun 29, 2010 9:48 pm

Analytic Moments for GARCH processes

Postby jaduwel » Thu May 01, 2014 3:16 pm

Hi Carol, Others,

Firstly, Carol, I wanted to mention that I always credit you as the first author that really allowed me to first grasp some of the most important financial risk topics. I respect your work and truly appreciate your attention to continued understanding and clarification (i.e. this blog).

Anyway, this might be a longshot, but, as you know, there are some pretty heavy-duty equations associated with analytic estimation of GARCH-type process moments. (I think that you mentioned that your colleague Silvia was at the forefront of some of these equations). My question is this: Is there any existing computer code anywhere that would save me the time of coding these equations myself? I am so desperate, I will take any language, but I suspect that Ox or c++ might be out there somewhere (which would be fantastic).

Regardless, thank you for taking the time to consider this request.

Take care, Jeff

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: Analytic Moments for GARCH processes

Postby coalexander » Fri May 02, 2014 5:53 pm

Try asking Silvia Stanescu -- she's at Kent...sorry for being away so much this last year, my Job at Sussex is exhausting!

jaduwel
Posts: 2
Joined: Tue Jun 29, 2010 9:48 pm

Re: Analytic Moments for GARCH processes

Postby jaduwel » Fri May 02, 2014 6:53 pm

Thank you, Carol! I totally understand about your job -- frankly, I am not sure how you do it all, so it makes your quick response even more appreciated. Take care, Jeff

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: Analytic Moments for GARCH processes

Postby coalexander » Fri May 02, 2014 9:05 pm

I like mentoring more than anything else but have been taken away from it since returning to Sussex...but will resume asap, hopefully within a year. Thanks for your very kind words! Carol


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