Re: [R] GARCH-like

From: DavidM.UK <david.merritt_at_bris.ac.uk>
Date: Sat, 24 May 2008 10:36:04 -0700 (PDT)

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 (renato_at_ele.puc-rio.br)
> Department of Electrical Engineering (Mathematical Finance)
> Pontifical Catholic University (PUC-Rio)
> Rua Marques de Sao Vicente, 225, Sala 604L
> Gavea CEP: 22453-900
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> tel.:55-21-3527-1205
>
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Received on Sat 24 May 2008 - 19:08:46 GMT

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