Re: [R] Garch in a model with explanatory variables

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sun 10 Jul 2005 - 07:24:43 EST

          RSiteSearch("GARCH with explanatory variables") produced one irrelevant hit, but RSiteSearch("GARCH with explanatory variables") produced 15 hits. Tobias Muhlhofer suggested one could "write out the loglikelihood (and possibly its gradient) which you could then maximise with optim() and friends. Adrian's GARCH(1,1) is hard-coded with an analytic gradient -- the convenience of having this powerful routine pre-made and comes at the price of its lack of flexibility. Diethelm's fSeries from Rmetrics can estimate Garch models by calling Ox. That may work for you too."
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/52132.html). Even if none of these solved your problem, you could copy the code of something that seemed close to what you wanted, walk through it line (or fill it with print statements) until you understood it well enough to modify it to do what you want.

          Phineas Campbell replied to an apparently similar question, "This might be one of those situations in which you should say what what you are trying to do rather than how you are trying to do it." (http://finzi.psych.upenn.edu/R/Rhelp02a/archive/52144.html).

          I doubt if this will answer your question, but it may provide some useful ideas. Feel free to submit another question, but I suggest you read the posting guide! http://www.R-project.org/posting-guide.html; I think that guide will likely increase your chances of getting a useful reply.

          spencer graves

Carlo Fezzi wrote:

> Dear helpers,
>
> does anyone know a function to fit a model with:
>
> - y mean that is regressed on a set of explanatory variables
>
> - y variace behaving as a garch or as a garch in mean
>
>
> Thank you so much for your help,
>
> Carlo
>
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Spencer Graves, PhD
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Received on Sun Jul 10 07:30:56 2005

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