GARCH models available

About this list Date view Thread view Subject view Author view Other groups

Subject: GARCH models available
From: Adrian Trapletti (Adrian.Trapletti@wu-wien.ac.at)
Date: Mon 25 Oct 1999 - 18:51:50 EST


Message-ID: <38141A26.A4094946@wu-wien.ac.at>

tseries_0.3-0 at CRAN now contains the following new features:

NelPlo Nelson-Plosser Macroeconomic Time Series
garch Fit GARCH Models to Time Series
get.hist.quote Download Historical Finance Data
jarque.bera.test Jarque-Bera Test
na.remove NA Handling Routines for Time Series

garch contains a GARCH estimation routine together with some of the
usual methods (print, plot, summary etc.). I plan to further implement a
simulate.garch() and to extend predict.garch() for multi-step forecasts.

For those who like to play with stock market data, get.hist.quote()
allows to download yahoo-finance data directly over the www into R time
series.

Testing, suggestions, and comments are welcome!

Adrian

--
Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708,
Email: adrian.trapletti@wu-wien.ac.at

-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-devel mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-devel-request@stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._


About this list Date view Thread view Subject view Author view Other groups

This archive was generated by hypermail 2b25 : Tue 04 Jan 2000 - 14:16:09 EST