Re: [R] Other models of GARCH

From: Dirk Eddelbuettel <>
Date: Tue 11 Jul 2006 - 22:55:35 EST

On Tue, Jul 11, 2006 at 07:41:58AM +0100, Sumanta Basak wrote:
> Can you please tell me whether "R" can handle other type GARCH models
> like, FIGARCH, E-GARCH, JGR-GARCH etc? Any particular help for these
> kind of models?

Yes R (no need to quote it) can: if you provide a (log-)likelihood function, R can use its optimisers to find those parameter that maximise this likelihood.

In case you really wanted to ask if these are pre-programmed for you, then the answer is no.

Hth, Dirk

Hell, there are no rules here - we're trying to accomplish something. 
                                                  -- Thomas A. Edison

______________________________________________ mailing list
PLEASE do read the posting guide!
Received on Tue Jul 11 23:23:38 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 Wed 12 Jul 2006 - 00:20:39 EST.

Mailing list information is available at Please read the posting guide before posting to the list.