[R] Fitting jump diffusion models

From: Ross Bowden <handel_at_iinet.net.au>
Date: Mon, 02 Jun 2008 12:15:07 +0800


Hello everyone. I have an interest in fitting jump diffusion AR(p) processes (which will likely form part of a Garch model). Does anyone know of some R code that will allow this please, hopefully using max likelihood (or similar) methods?

I'm currently using WinBUGS and RWinBUGS to utilise a Bayesian approach but my dataset is quite large (n=17,000 being half-hourly electricity prices for a year) and, not surprisingly, the routines have issues with execution time and program stability.

Many thanks,
Ross Bowden,
Synergy Energy,
Perth, Western Australia.



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