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Subject:

Software for the estimation of non linear time series

From:

"Glenn Treacy" <[log in to unmask]>

Reply-To:

<[log in to unmask]>

Date:

Wed, 3 Feb 1999 13:35:48 -0000

Content-Type:

text/plain

Parts/Attachments:

Parts/Attachments

text/plain (147 lines)

Thank you to all those who replied to my query. The following are some of
the replies I received.

Glenn Treacy
----------------------------------------------------------------------------
------------------------------------

I suggest SHAZAM ...... see http://shazam.econ.ubc.ca/

Dave Giles
------------------

Dear Dr. Treacy:

I have the same requested to make as you. I know that there exist an
S module called S+GARCH but I do not dispose of it because it is too
expensive for me.

Plese let me know if tou receive some other suggestions from the list.

Best regards

Claudio ,,,
---------------------------
RATS.
www.estima.com

Brian Lucey
-----------------------------
Try Stata 6.0 and S-Plus 5.0

Best

Richard Tucker
-----------------------------
EViews (and TSP) can estimate ARCH-type models with simple command. RATS
can do it with a short program. You can implement ARCH estimation in GAUSS
but it takes more time (but again, more flexible). I think UCSD Econ Dept
has some programs in GAUSS or FORTRAN available. Hope this helps.
Dong Li
--------------------------
My english is not good, but, i try to make it
I'm using the software RATS 4.0 to estimate the model ARCH, GARCH and
stochastics models. My goal is forecast volatility of the Bovespa, Stock
index
from Brasil. You can view the routines of this soft at the adress
estima.com
But, this soft is not easy to treat. Any doubt, please, ask me.
Igor Alexandre
---------------------------
Doug Martin at Seattle has written a commercial package for GARCH called
S+Garch (Data Analysis products division, Mathsoft Inc)
but I think there is some free stuff around now.
Ask Stephen Taylor at Lancaster University.

Chris Chatfield
-----------------------------
Splus has a module for GARCH which works quite well.
The absolute experts on FX rates are Olsen and Associates
(Zurich).

Regards

Thomas Mikosch
-----------------------------
Splus has a new module that fits ARCH and GARCH models and it's very good
but quite expensive.

Regards,

Svetlana Borovkova
-----------------------------
I don't any specific recommendations for currencies, but I have
considerable experience in the practical aspects of modelling and
forecasting financial series in general. My company manages equity funds
on a quantitative basis and I've been working with financial series for
7 years or so... I might well be able to help with a practical viewpoint
on what is worth modelling and what is not.

As a lightening guide: ARCH suffered from poor modelling of long-run
dependencies. Various people have recommended FIGARCH as a palliative or
cure. I tend to prefer using weekly or monthly data to reduce the
problem, but hardline quants use concepts like co-integration.

The real problem IMHO with all the fancier techniques is that they may
be horribly affected by the non-normal data, and are too complex for you
to diagnose the problem. It is a tough problem.

I would be interested in your views.

--

Regards,

Robert Macrae
-----------------------------
I believe Pedro de Lima has a homepage at John Hopkins University
from which you can download some software. Also, check out Bill
Goffe's 'Resources for Economists' under the Software category.
I would appreciate it if you would let me know what you find
(especially from other sources).

Good luck,
Spyros
---------------------------------
If you have access to the RATS package (see www.estima.com) I can provide
you with all the routines you will need. You could use one of the 'off
the shelf' packages such as Microfit or EViews, however I recommend a
command driven language such as RATS or GAUSS.

Best of luck!

Olan Henry
--------------------------------
I would be interested in hearing a summary of the replies you receive
regarding your request.

I know you can fit these types of models in SHAZAM.

Kind regards,
Jonathan


( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )
Jonathan Alsop
Biostatistician
Injury Prevention Research Unit
University of Otago, Dunedin, NZ
Ph: 0064 3 479 8524
Fax: 0064 3 479 8337
http://www.otago.ac.nz/ipru
--------------------------------
I use both Excel and Metastock for my analysis. I find them very good
programs. I've been using Metastock since release 1.0 and find that I
can do just about anything I want. You might try this one. It is also
one of the least expensive on the market. There are other very good
programs out there but I prefer these. I have also used Mathcad for
some studies, but the ease of using Metastock outweighs it. Mathcad is
very good and can do any math you can throw at it.
How long have you been interested in currency trading? This is one of
my favorite markets. Do you have any recommended strategies?
Don Lingerfelt
---------------------------------


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