Hi, everyone! Is there a function to do single-variable GARCH in R? If yes, what library is it in? Thanks! Toby -- ************************************************************************** When Thomas Edison invented the light bulb he tried over 2000 experiments before he got it to work. A young reporter asked him how it felt to have failed so many times. He said "I never failed once. I invented the light bulb. It just happened to be a 2000-step process."
Yes. Probably the best approach is if you go to the Rmetrics website http://www.rmetrics.org/ Patrick Burns Burns Statistics patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User") Tobias Muhlhofer wrote:> Hi, everyone! > > Is there a function to do single-variable GARCH in R? If yes, what > library is it in? > > Thanks! > Toby
I just got 163 hits from "www.r-project.org" -> search -> "R site search" -> garch. The first hit mentioned package "tseries". The second also mentioned "fSeries", "fOptions". hope this helps. spencer graves Tobias Muhlhofer wrote:> Hi, everyone! > > Is there a function to do single-variable GARCH in R? If yes, what > library is it in? > > Thanks! > Toby