Hi,
now the site contains
- all the data used in the book,
- code of the basic structural model applied to the airline time series for all considered software packages,
- code of the first two case studies in the book for the software packages Ox/SsfPack and R,
- errata up to date 30 August 2015.
May i introduce myself, i’m Zeineb Felli, a Master degree student in IHEC from Tunisia, May i kindly ask for the Ox code used for the GARCH models and STFIGARCH model.
Thanks in advance and Best regards.
Faithfully,
Dear Zeineb,
there are no GARCH and related models in the UCM book and, thus, I have no code for that. But in OxMetrics there is the excellent package @GARCH by Sébastien Laurent that can estimate almost any existing GARCH model.
Best,
Matteo