Hello
You can find functions related to GARCH by searching on Rseek.org or
by running in R:
install.packages('sos', dep=T)
require(sos)
findFn('garch')Regards Liviu On Mon, Aug 23, 2010 at 5:59 AM, Aditya Damani <adicoo...@gmail.com> wrote: > Hi, > > I want to fit a mean and variance model jointly. > > For example I might want to fit an AR(2)-GARCH(1,1) model i.e. > > r_t = constant_term1 + b*r_t-1 + c*r_t-2 + a_t > > where a_t = sigma_t*epsilon_t > > where sigma^2_t = constant_term2 + p*sigma^2_t-1 + q*a^2_t-1 > > i.e. R estimates a constant_term1, b, c, constant_term2, p, q > > TIA > Aditya > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- Do you know how to read? http://www.alienetworks.com/srtest.cfm http://goodies.xfce.org/projects/applications/xfce4-dict#speed-reader Do you know how to write? http://garbl.home.comcast.net/~garbl/stylemanual/e.htm#e-mail ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
