[R] Garch in the mean

From: Aaron Plavnick/MSINVESTORS <Aaron.Plavnick_at_msinvestors.com>
Date: Mon, 21 Jun 2010 10:48:10 -0400


Hello,

I was wondering if anyone knew how to fit a series using a Garch-M (Garch in the mean) model. From what I gathered from the documentation, it does not seem to be implemented in either fGarch, fSeries, or tSeries. Perhaps there is an option that allows this functionality. Otherwise, if it's possible to modify an existing function I would appreciate any guidance on how to go about doing that.

Thanks,
Aaron Plavnick



Aaron Plavnick, Intern
Madison Square Investors
T: 212.938.6574

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