[R] AR-ARCH specification and forecast

From: <francoisromain_at_free.fr>
Date: Mon 14 Mar 2005 - 22:44:55 EST


Hello list,

I use the packages tseries and fSeries to perform a time series analysis. I have a model with an AR specification for the mean and an ARCH(1) specification for the variance.

I just wonder if there is something to compute a forecast with that specification and also if there is possible to get the AIC for such AR-ARCH model.

Thanks to all.

Romain.



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Mon Mar 14 22:52:47 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:30:47 EST