[R] GARCH estimation

About this list Date view Thread view Subject view Author view Attachment view

From: Allin Cottrell (cottrell@wfu.edu)
Date: Fri 14 Mar 2003 - 00:27:32 EST


Message-id: <Pine.LNX.4.52.0303130824400.1018@ricardo.ecn.wfu.edu>

Anyone know if there's an R package somewhere that supports estimation
of a linear regression model with GARCH error process?

There's a garch command in the tseries package, but unless I'm missing
something it is restricted to the univariate case, i.e. you can fit a
GARCH model to a single time-series but not estimate a model with
GARCH errors.

-- 
Allin Cottrell
Department of Economics
Wake Forest University, NC

______________________________________________ R-help@stat.math.ethz.ch mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help


About this list Date view Thread view Subject view Author view Attachment view

This archive was generated by hypermail 2.1.3 : Tue 01 Jul 2003 - 09:11:25 EST