mariam achkir
2011-Jun-16 20:00 UTC
[R] I need help with the mean equation in rgarch package
Dear R users, I hope this email finds you well, My name is Mariam and I am currently using R in my thesis project. I is about modeling investors' sentiment. My R skills are very modest and I am trying to solve a Garch in mean equation using the "rgarch" package. The main issue I am facing is with the mean equation, and I need a code for it or a lead on how to edit already existing functions. My mean equation looks like the this: Return = alpha + C1*Variance - (C3 + C4*Variance)*pastReturn - (C5 + C6*Variance)*pastReturn + error ; (C3 and C4 if pastReturn > 0, C5 and C6 if pastReturn<0) The variance is modeled following a GARCH or eGARCH process, but this can be done using the rgarch library. Thank you so much for your consideration and help. I hope to hear from you soon Best Regards, Mariam.