Re: [R] GARCH estimation

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From: Adrian Trapletti (adrian.trapletti@lmttrading.com)
Date: Fri 14 Mar 2003 - 22:27:47 EST


Message-id: <3E71BCB3.DD0AE1FF@lmttrading.com>


> Subject: [R] GARCH estimation
> Date: Thu, 13 Mar 2003 08:27:32 -0500 (EST)
> From: Allin Cottrell <cottrell@wfu.edu>
> To: r-help@stat.math.ethz.ch
>
> Anyone know if there's an R package somewhere that supports estimation
> of a linear regression model with GARCH error process?

Up to my knowledge: no.

> 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.

Right.

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

best
Adrian

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