[R] Simultaneous estimation of mean and garch eq'n

From: Tobias Muhlhofer <t.muhlhofer_at_lse.ac.uk>
Date: Fri 20 May 2005 - 06:56:53 EST


Is it possible to simultaneously estimate mean and GARCH parameters in R?

In other words, I would like to estimate the normal regression equation

Y = b X + u

and simultaneously do a garch process on the u's to correct the standard errors.

I was thinking maybe something with systemfit(), but I can't quite come up with it.

Thanks,

        Tobias

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Received on Fri May 20 07:10:52 2005

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