Hi All, Is there an R package for simulating a GARCH process (preferrably with jump diffusion). ? Can such a process be modelled by an R package out there ... ? Many thanks Neil _________________________________________________________________ -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Hi All, Is there an R package for simulating a GARCH process (preferrably with jump diffusion). ? Can such a process be modelled by an R package out there ... ? Many thanks Neil _________________________________________________________________ Join the world’s largest e-mail service with MSN Hotmail. -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Dirk Eddelbuettel
2002-May-11 14:57 UTC
[R] Jump diffusion GARCH modelling/simulation in R ?
On Sat, May 11, 2002 at 02:42:08AM +0000, Neil Osborne wrote:> Is there an R package for simulating a GARCH process (preferrably with jumpThat really is simple to do in a little loop. People usually discard the first n elements of a vector of size n+N, say n=100,N=1000. As for the jump diffusion part, you are adding a second model on top, so why not make an explicit mixture? Draw a uniform, and if >\alpha, add jump \epsilon, or an entire process, or ... Dirk -- Good judgement comes from experience; experience comes from bad judgement. -- Fred Brooks -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._