[R] Testing volatility cluster (heteroscedasticity) in stock return?

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?

Re: [R] Testing volatility cluster (heteroscedasticity) in stock return?

Hi Michael, I'm sorry for the mistake.. i don't know if it's not permitted to sent the same message to both (r-help and r-sig) Thank's a lot for the information... Eko   - Original Message - From: R. Michael Weylandt michael.weyla...@gmail.com To: Eko andryanto Prakasa eko.prak

[R] averageif and looping

 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 rowvalue 10 22 3-3 4-2 51 6-2 i want to measure the average of the vector for negative value with window

[R] ES with time varying (GARCH model) under nonnormal (using cornish fisher expansion)

Hiii   I have tried to measure ES with cornish fisher expansion using PerformanceAnalytics package, but i still confuse because to measure volatility i use GARCH model and i don't know how to consolidate it with ES in PerformanceAnalytics package..   i have measured ES under normality using

[R] Determine Threshold value in Extreme Value Theory

Hi all, I want to measure value at risk with Extreme Value Theory (EVT) - Peak Over Threshold Approaches. Is there a function in R to determine Threshold in EVT ? Is there a function in R to determine Threshold in EVT using Sample Mean Excess Function? I really need your help.. thank you

[R] Expected Shortfall using cornish fisher expansion

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