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figarch
2005 Feb 01
0
GARCH, installing tserise package
...ibrary. What do
I need to do in order to actually install it?
Second, I am not sure if I've installed it properly, but I've added
"garch" function into my current R workspace. But, I got the following
error message.
> x.garch <- garch(x, order = c(1,1))
Error in .C("fit_garch", as.vector(x, mode = "double"), as.integer(n), :
C function name not in DLL for package tseries
I was running the following GARCH (1,1) model.
> n <- 1100
> a <- c(0.01178, 0.003, 0.005) # ARCH(1) coefficients, assuming the mean is constant!!
> e <- rn...