Re: [R] Other models of GARCH

From: Dirk Eddelbuettel <edd_at_debian.org>
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

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Received on Tue Jul 11 23:23:38 2006

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