Dynamic Models for Volatility and Heavy Tails

Computer programs

The menu-driven programs listed below run in Oxmetrics and are available from Timberlake consultants; see www.timberlake.co.uk/software/?id=64.

i) STAMP estimates linear Gaussian structural time series models; see Koopman et al (2008).
ii) G@RCH estimates a wide range of GARCH models, including Beta-t-EGARCH; see Laurent (2009).

iii) DyScoE - Dynamic generalized gamma and beta estimation; see Andres and Harvey (2012).

(iv)An R-program for Beta-t-EGARCH, including skew-t, is available on the website http://cran.r-project.org/web/packages/betategarch/
The reference is in G. Sucarrat (2012). betategarch: Estimation and simulation of the first-order Beta-t-EGARCH model. R package version 1.2.