See
Dean
Fantazzini (2011) Fractionally Integrated Models for Volatility: A Review -
Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH,
Moscow
School of Economics; National Research University Higher School of Economics
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1752095
________________________________
From: 박소영 <drsoyoung66@naver.com>
To: R-HELP@r-project.org
Sent: Thursday, 31 January 2013, 7:28
Subject: [R] I want to download "garchOxFit" function.
Dear R help.
Hello.
I want to fit the model of "FIGARCH" on TimeSeries data.
So I need to use the code of "garchOxFit".
I don't know how to estimate FIGARCH model.
Please let me know which package I need and
what is procedure of estimating FIGARCH by R.
I think I need this code!
> garchOxFit(formula.mean = arma(0, 0), formula.var = garch(1,1), series
= x, cond.dist = c("gaussian", "t", "ged",
"skewed-t"), include.mean TRUE, truncation = 100, trace = TRUE, title
= NULL, description = NULL,
arch.in.mean=0, include.var=TRUE)
Thank you for reading email.
I am waiting for your kind reply.
Best,
Soyoung Park.
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