Renato, As you may know the two routines for fitting GARCH models are garchFit [fGarch] and garch [tseries]. The RMetrics [who are behind the fGarch library] team have usefully provided a white paper on Garch modeling available from their website, which includes a simple example of how to fit a Garch(1,1) model in R. You should be able to manipulate that code to fit all manor of GARCH variants.
I don't think either the tseries or fGarch garch routines are actually implemented in R code but rather they call Fortran / C routines. You may also wish to consult the product documentation page for the GARCH toolbox in MATLAB which is available online - it provides many useful tips for Garch estimation - including "good initial parameter estimates" Best David M Renato Costa wrote: > > I need to change the code of Garch to the FCGARCH (a non-linear > multi-regime GARCH). > I don't know nothing about R. > I'd like to know how can I get the code of the garch in order to change it > and make the fit for the FC-GARCH. > Any non-linear code will be helpfull because if doesn't help in the > programming it helps in getting familiar with R. > > Thank you > > Renato > > -- > PhD Student Renato Alencar Adelino da Costa ([EMAIL PROTECTED]) > Department of Electrical Engineering (Mathematical Finance) > Pontifical Catholic University (PUC-Rio) > Rua Marques de Sao Vicente, 225, Sala 604L > Gavea CEP: 22453-900 > Rio de Janeiro > BRASIL > tel.:55-21-3527-1205 > > [[alternative HTML version deleted]] > > ______________________________________________ > 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. > > -- View this message in context: http://www.nabble.com/GARCH-like-tp17431806p17450192.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
