[R] Garch in the mean

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


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.

Aaron Plavnick

Aaron Plavnick, Intern
Madison Square Investors
T: 212.938.6574

        [[alternative HTML version deleted]]

R-help_at_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. Received on Mon 21 Jun 2010 - 15:17:11 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Mon 21 Jun 2010 - 17:00:34 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive