[R] Codes; White's heteroscedasticity test and GARCH models

From: Spiros Mesomeris <mesomeris_at_yahoo.co.uk>
Date: Thu 27 Jul 2006 - 08:00:10 EST


Hello,    

  I have just recently started using R and was wondering whether anybody had a code written for White's heteroscedasticity correction for standard errors.    

  Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean models for modelling regression residuals?        

  Thanks a lot in advance,
  Spyros                  


        [[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 and provide commented, minimal, self-contained, reproducible code. Received on Thu Jul 27 08:07:42 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 27 Jul 2006 - 10:18:03 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.