Thank you for your
interest in the ARCH software we use here. Most of our development work is coded
in mainframe FORTRAN, although various programs have been written for the IBM PC
and for GAUSS. The Department distributes these programs freely and "as is"; no
support is provided. There are three sets of programs:
The first is a set of FORTRAN programs and documentation written
by Ken Kroner which not only does a full range of univariate models such as
ARCH, GARCH, GARCH-M, Student-t and conditional GARCH but it also has
multivariate versions of the Factor ARCH and diagonal multivariate model such as
that used in the CAPM paper. These programs are internally documented and are
designed to be relatively transportable. They are not, however, user friendly.
The front end can, of course, be modified to make it more friendly. Download zipped
file
The second set of programs, also written by Ken Kroner, contains
GAUSS code for both univariate and multivariate GARCH. Limited documentation for
both programs is included. The univariate code will estimate very general
models, including levels-dependent models as in Brenner, Harjes and Kroner (1996
JFQA) with t-distributed errors. It computes impulse response functions
and conditional moments tests. The multivariate program estimates the VECH,
CCORR, F-ARCH, BEKK and ADC models. Sample data sets and results are provided.
This program requires the MAXLIK module from GAUSS. Download zipped
file
The third program is written by Victor Ng, and runs on the IBM PC
with a 80286/287 chip or better. This program does all the univariate models
ARCH-M, GARCH-M, and allows exogenous variables in both the mean and variance
equation. It is easy to use, but doesn't incorporate data handling or anything
more than construction of an output file. Source code is not available for Ng's
program. Download
zipped file
