[R] Fitting a GARCH model in R

Aditya Damani
Mon, 23 Aug 2010 02:59:39 -0000

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