FIGARCH and HYGARCH

[mihaela]

Hello everyone,

Does anyone of you know if FIGARCH and HYGARCH can be estimated in Eviews? Or if GPH estimator can be used to estimate "d" - the fractional differencing estimator?

Thank you !

[trubador]

Any GARCH family model can be analyzed via Eviews easily. If a specific model cannot be estimated through built-in procedures, then all you have to do is set up a logl object. However, in your case the problem arises from the fact that there is no easy way to take the fractional difference of a series in EViews. Yet, you might still want to check the following link: http://forums.eviews.com/viewtopic.php?f=3&t=411&p=1532&hilit=fourier#p1478

[mihaela]

Thanks a lot for your answer!