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Helloo, i have measure VaR with time dependen volatility (GARCH) and now want to measure expected shortfall (ES) using cornish fisher expansion (cause non-normal distribution), but i have limitedness about using R. Could you help me, how measure that ES with cornish fisher expansion using R.... i really need your help. thank you for the attention. Regards Eko [[alternative HTML version

Dear All, i want to use garch model in return of stock. and the data should presence volatility cluster (Heteroscedasticity). Do you know how to test volatility cluster (the presence of heteroscedasticity) in series data of stock return in R? Is it using Langrange Multiplier (LM) ARCH test? what package i should use? I really need the help. Thanks for the attention. Eko A P

?haiii i want to know, is there?any script in R to measure looping averageif (like in the excel) ....... for example: i have a vector row????value 1????????0 2????????2 3????????-3 4????????-2 5????????1 6????????-2 i want to measure the average of the vector for negative value with window estimation 5 so first mean is (-3+-2)/2 ???? second mean is (-3+-2+-2)/3??