On Mon, Oct 19, 2009 at 6:37 AM, Xu, Ke-Li <k...@bus.ualberta.ca> wrote:
> Hi there, > > Thanks for your previous help on R. Do you know how to estimate an IGARCH > (integrated GARCH) model in R? I need it when I estimate the Value at Risk > following RiskMetrics methodology. > > regards, > Keli > > Hi Keli, I would like to point you to the website: www.rseek.org I don't know anything at all about IGARCH, but a quick search pointed me to: http://rgarch.r-forge.r-project.org/ which seem to include the mentioned mode. I would also recommend that you subscribe to R-help at https://stat.ethz.ch/mailman/listinfo/r-help and send questions there instead of directly to me (who is not much of an R expert...) best regards, and good luck Gustaf -- Gustaf Rydevik, M.Sci. tel: +46(0)703 051 451 address:Essingetorget 40,112 66 Stockholm, SE skype:gustaf_rydevik [[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.
