Preetam,
You are more likely to want garch than
arch.
These models are data-hungry, so I'm
sceptical that a model with CPI is going
to be very good. See for instance:
www.portfolioprobe.com/2012/09/20/garch-estimation-on-impossibly-long-series/
This question is really more appropriate
for r-sig-finance (you need to subscribe
before you can post).
Pat
On 15/11/2014 10:23, Preetam Pal wrote:
Hi,
I have two variables, FTSE100 and CPI . Call them Y and X respectively.
I want to fit an ARCH(1) to model Y on X. I also intend to predict the
values of Y for future (given) values of X. How can I use R for such
prediction?
Another question is: is there a way I can call an R function which would
return me the optimal p for the ARCH(p) model?
I have attached the Excel data in case it is required.
Thanks,
Preetam
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