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This paper discusses and documents G@RCH 2.0, an Ox package dedicated to the estimation and forecasting of various univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of the conditional variance and an AR(FI)MA specification...
Persistent link: https://www.econbiz.de/10005132877