A new extension command for SPSS Statistics,
STATS GARCH, has been uploaded to the SPSS Community. It supports
a wide variety of GARCH models for estimation and forecasting with many
options. The GARCH model types are standard, integrated, exponential,
GJR, asymmetric power, and component.
STATS GARCH has a dialog box interface
and standard Statistics syntax. It should also work in a Statistics
Output node in Modeler, but I have not tested that.
STATS GARCH requires the R Essentials
and at least version 18 of Statistics. It can be downloaded from within
Statistics using the Utilities menu in version 22. For older versions you
can download it from the SPSS Community website (www.ibm.com/developerworks/spssdevcentral)
in the Extension Commands collection.
Jon Peck (no "h") aka Kim
Senior Software Engineer, IBM
[hidden email]
phone: 720-342-5621
=====================
To manage your subscription to SPSSX-L, send a message to
[hidden email] (not to SPSSX-L), with no body text except the
command. To leave the list, send the command
SIGNOFF SPSSX-L
For a list of commands to manage subscriptions, send the command
INFO REFCARD
Locked
