R help - Jul 2005 - Garch in a model with explanatory variables

Dear helpers,

does anyone know a function to fit a model with:

- y mean that is regressed on a set of explanatory variables

- y variace behaving as a garch or as a garch in mean


Thank you so much for your help,

Carlo

RSiteSearch("GARCH with explanatory variables") produced one 
irrelevant hit, but RSiteSearch("GARCH with explanatory variables") 
produced 15 hits.  Tobias Muhlhofer suggested one could "write out the 
loglikelihood (and possibly its gradient) which you could then maximise 
with optim() and friends. Adrian's GARCH(1,1) is hard-coded with an 
analytic gradient -- the convenience of having this powerful routine 
pre-made and comes at the price of its lack of flexibility.  Diethelm's 
fSeries from Rmetrics can estimate Garch models by calling Ox. That
may work for you too." 
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/52132.html).  Even if 
none of these solved your problem, you could copy the code of something 
that seemed close to what you wanted, walk through it line (or fill it 
with print statements) until you understood it well enough to modify it 
to do what you want.

	  Phineas Campbell replied to an apparently similar question, "This 
might be one of those situations in which you should say what what
you are trying to do rather than how you are trying to do it." 
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/52144.html).

	  I doubt if this will answer your question, but it may provide some 
useful ideas.  Feel free to submit another question, but I suggest you 
read the posting guide! http://www.R-project.org/posting-guide.html;  I 
think that guide will likely increase your chances of getting a useful 
reply.

	  spencer graves	

Carlo Fezzi wrote:
> Dear helpers,
> 
> does anyone know a function to fit a model with:
> 
> - y mean that is regressed on a set of explanatory variables
> 
> - y variace behaving as a garch or as a garch in mean
> 
> 
> Thank you so much for your help,
> 
> Carlo
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
-- 
Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA

spencer.graves at pdf.com
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Tel:  408-938-4420
Fax: 408-280-7915

The Ox interface in fSeries is quite an easy way to accomplish this, 
although it produces some garbage, both in your current environment 
within R, as well as in the directory in which you are running R. You 
have to be careful also if you're on a Linux or other UNIX system, as 
the function has Windows pathnames hard coded into it, which you need to 
alter to the ones where your Ox resides.

Tobias