[R] Fitting a GARCH model in R

Liviu Andronic
Mon, 23 Aug 2010 11:35:50 -0000

Hello
You can find functions related to GARCH by searching on Rseek.org or
by running in R:
install.packages('sos', dep=T)
require(sos)
findFn('garch')

Regards
Liviu

On Mon, Aug 23, 2010 at 5:59 AM, Aditya Damani <adicool4u at gmail.com>
wrote:
> Hi,
>
> I want to fit a mean and variance model jointly.
>
> For example I might want to fit an AR(2)-GARCH(1,1) model i.e.
>
> r_t = constant_term1 + b*r_t-1 + c*r_t-2 + a_t
>
> where a_t = sigma_t*epsilon_t
>
> where sigma^2_t = constant_term2 + p*sigma^2_t-1 + q*a^2_t-1
>
> i.e. R estimates a constant_term1, b, c, constant_term2, p, q
>
> TIA
> Aditya
>
> ______________________________________________
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> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



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