Anyone know if there's an R package somewhere that supports estimation of a linear regression model with GARCH error process? There's a garch command in the tseries package, but unless I'm missing something it is restricted to the univariate case, i.e. you can fit a GARCH model to a single time-series but not estimate a model with GARCH errors. -- Allin Cottrell Department of Economics Wake Forest University, NC
> Subject: [R] GARCH estimation > Date: Thu, 13 Mar 2003 08:27:32 -0500 (EST) > From: Allin Cottrell <cottrell at wfu.edu> > To: r-help at stat.math.ethz.ch > > Anyone know if there's an R package somewhere that supports estimation > of a linear regression model with GARCH error process?Up to my knowledge: no.> There's a garch command in the tseries package, but unless I'm missing > something it is restricted to the univariate case, i.e. you can fit a > GARCH model to a single time-series but not estimate a model with > GARCH errors.Right.> -- > Allin Cottrell > Department of Economics > Wake Forest University, NC >best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland WWW : trapletti.homelinux.com