Hi Michael, I'm sorry for the mistake.. i don't know if it's not permitted to sent the same message to both (r-help and r-sig).... Thank's a lot for the information...
Eko ----- Original Message ----- From: R. Michael Weylandt <michael.weyla...@gmail.com> To: Eko andryanto Prakasa <eko.prak...@yahoo.com> Cc: "r-help@R-project.org" <r-help@r-project.org> Sent: Monday, October 8, 2012 12:56 AM Subject: Re: [R] Testing volatility cluster (heteroscedasticity) in stock return? Hi Eko, Please don't cross-post to both R-Help and R-SIG-Finance. Michael On Sun, Oct 7, 2012 at 6:49 PM, Eko andryanto Prakasa <eko.prak...@yahoo.com> wrote: > Dear All, > i want to use garch model in return of stock. and the data should presence > volatility cluster (Heteroscedasticity). > Do you know how to test volatility cluster (the presence of > heteroscedasticity) in series data of stock return in R? > Is it using Langrange Multiplier (LM) ARCH test? what package i should use? > I really need the help. Thanks for the attention. > Eko A P > > ______________________________________________ > 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. ______________________________________________ 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.
