Figarch.zip
(Download: 73 Kb) This program estimates a FIGARCH (1,d ,1) model, reporting ML and QML estimates of the variance of the parameters;
input data has to be provided in an ASCII file. Besides standard estimation output (Fisim.out), the program supplies the conditional variance series (ht.txt), a 100-step-ahead dynamic forecast of conditional variance
(fore.txt), the observed autocorrelations (acf.txt) and the periodogram (period.txt) of the squared residuals series. Output files are saved on the desktop. The zip file contains technical documentation and an example input file.
Fisim2.exe
(Download: 72 Kb) This program simulates and estimates a FIGARCH (1,d ,1) model. It was developed to compare different optimization methods, and it reports, besides the coefficients estimated according to each method, the number of iterations and the time required to reach convergence. Output is saved in
a synthetic report (Fisim.out) and extensively (Fisim.csv) on the desktop.
Fisim.exe
(Download: 72 Kb) This program simulates and estimates a FIGARCH (1,d ,1) model, using BHHH method.
It was developed to compare the effects on the variances of the parameters of the estimation method chosen.
Thus, it reports, besides estimated coefficients, the variances estimated according to
various methods (analytic Hessian, numeric Hessian, BHHH, QML). Output is saved in
a synthetic report (Fisim.out) and extensively (Fisim.csv) on the desktop.
Audio samples This page contains some audio samples used in my digital signal processing papers.