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

From: Kerpel, John <John.Kerpel_at_infores.com>
Date: Thu 27 Jul 2006 - 08:09:50 EST


Check tseries and fSeries packages for GARCH

-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Spiros Mesomeris Sent: Wednesday, July 26, 2006 5:00 PM
To: r-help@stat.math.ethz.ch
Subject: [R] Codes; White's heteroscedasticity test and GARCH models

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                  


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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 08:14:47 2006

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