Re: [R] Does R have EGARCH modeling function?

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Thu 25 May 2006 - 12:32:06 EST

          I just got 39 hits for RSiteSearch("egarch"). The one that looks to me like it comes the closest to answering your question is "http://finzi.psych.upenn.edu/R/Rhelp02a/archive/49245.html".

          I don't know the definition of egarch, but I would expect that it would not be too hard to program if you know the definition. You could read the source code for some of the other GARCH-type functions, find one that's moderately close, and modify it.

	  hope this helps.
  	  Spencer Graves

Michael wrote:
> I've downloaded fSeries, but looks like it just has an interface to OX(TM)
> Garch Modeling Software,and that OX(TM) software package is not free.
>
> So where can I find an EGARCH function that is truely usable?
>
> Thanks a lot!
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> 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



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 Thu May 25 12:44:28 2006

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.1.8, at Thu 25 May 2006 - 14:10:19 EST.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.