Check tseries and fSeries packages for GARCH
-----Original Message-----
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of Spiros Mesomeris
Sent: Wednesday, July 26, 2006 5:00 PM
To: [email protected]
Subject: [R] Codes; White's heteroscedasticity test and GARCH models
Hello,
I have just recently started using R and was wondering whether anybody
had a code written for White's heteroscedasticity correction for
standard errors.
Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean
models for modelling regression residuals?
Thanks a lot in advance,
Spyros
---------------------------------
[[alternative HTML version deleted]]
______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
