R help - Jun 2010 - Garch in the mean

Hello,

I was wondering if anyone knew how to fit a series using a Garch-M (Garch 
in the mean) model. From what I gathered from the documentation, it does 
not seem to be implemented in either fGarch,  fSeries, or tSeries. Perhaps 
there is an option that allows this functionality. Otherwise, if it's 
possible to modify an existing function I would appreciate any guidance on 
how to go about doing that.

Thanks,
Aaron Plavnick



-----------------------------------
Aaron Plavnick, Intern 
Madison Square Investors 
T: 212.938.6574
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On Mon, Jun 21, 2010 at 3:48 PM, Aaron Plavnick/MSINVESTORS
<Aaron.Plavnick at msinvestors.com> wrote:
> I was wondering if anyone knew how to fit a series using a Garch-M (Garch
> in the mean) model. From what I gathered from the documentation, it does
>
Perhaps rgarch [1]? Also, you might get better help if you were
posting to r-sig-finance.
Liviu

[1] http://rgarch.r-forge.r-project.org/

Hello. Given this group assignment vector x:

x= rep(letters[1:3],c(9,21,9))

I would like to know the number of all possible unique permutations of x and
also obtain the matrix of them. Thus, each vector should still contain 9*a, 21*b
and 9*c, but case assigment must be different for one case (default at least 2)
for each permuation. a, b and c can be interspersed in permuted vectors, i.e.
order does not matter. If this unique permutation matrix is very large then I
would like to choose a subset of it. I can easily permute the vector with
sample(x) but if I repeat this n>1 times there is no guarantee of uniqueness.
For a small number of samples, I could look for unique vectors and keep only
those but this seems awkward and I suspect there are more elegant ways to do it.

Is there an r function which will allow me to calculate both how many unique
permutations of x exist and also obtain a matrix of them and/or a subset of that
matrix?

Thanks very much,
Daniel

______________________
Daniel Duplisea
P?ches et Oc?ans / Fisheries and Oceans Canada
Institut Maurice-Lamontagne
Mont-Joli, QC
G5H 3Z4
Canada
 
tel: 1 418 775 0881
fax: 1 418 775 0740