Eko andryanto Prakasa
2012-Oct-07 17:49 UTC
[R] Testing volatility cluster (heteroscedasticity) in stock return?
Dear All, i want to use garch model in return of stock. and the data should presence volatility cluster (Heteroscedasticity). Do you know how to test volatility cluster (the presence of heteroscedasticity) in series data of stock return in R? Is it using Langrange Multiplier (LM) ARCH test? what package i should use? I really need the help. Thanks for the attention. Eko A P
R. Michael Weylandt
2012-Oct-07 17:56 UTC
[R] Testing volatility cluster (heteroscedasticity) in stock return?
Hi Eko, Please don't cross-post to both R-Help and R-SIG-Finance. Michael On Sun, Oct 7, 2012 at 6:49 PM, Eko andryanto Prakasa <eko.prakasa at yahoo.com> wrote:> Dear All, > i want to use garch model in return of stock. and the data should presence volatility cluster (Heteroscedasticity). > Do you know how to test volatility cluster (the presence of heteroscedasticity) in series data of stock return in R? > Is it using Langrange Multiplier (LM) ARCH test? what package i should use? > I really need the help. Thanks for the attention. > Eko A P > > ______________________________________________ > R-help at r-project.org 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.