On Mar 5, 2012, at 10:51 AM, mamush bukana wrote:
Dear John,
Thanks for your prompt response. But I can't get "rmgarch" package.
http://www.rseek.org/?cx=010923144343702598753%3Aboaz1reyxd4&q=rmgarch&cof=FORID%3A11
Rather
I got some package, "rugarch", in my search to "rmgarch". This package
(rugarch), however, does not solve my problem. My question
specifically is
to estimate and simulate model like:
x_t = A1*x_{t-1} + A2*x_{t-2} + ... + Ap*x_{t-p} + error
allowing garch effect in the error term(my data looks hetroskedastic).
Thanks
On Mon, Mar 5, 2012 at 1:46 PM, John Kerpel <john.ker...@gmail.com>
wrote:
See the rmgarch package.
On Mon, Mar 5, 2012 at 6:09 AM, mamush bukana
<mamushbuk...@gmail.com>wrote:
Dear list,
Can one suggest me if there is an R function/package to estimate and
simulate vector autoregressive (VAR) model allowing for the GARCH
effect
please?
Thanks
Mamush
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David Winsemius, MD
West Hartford, CT
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