Thanks for sharing Eric. A lot of neat packages in here that I wasn’t aware of
Sent from my iPhone
> On Nov 23, 2019, at 1:36 PM, Eric Berger wrote:
>
> Hi Alec,
> Check out the CRAN task views for
> a) Empirical Finance https://cran.r-project.org/web/views/Finance.html
> and
> b) Time
Hi Alec,
Check out the CRAN task views for
a) Empirical Finance https://cran.r-project.org/web/views/Finance.html
and
b) Time Series: https://cran.r-project.org/web/views/TimeSeries.html
In each of the above if you search for 'garch' (or GARCH) you will
find many pointers to what is available on
I'd like to calculate GARCH-type volatility on a random grid using transaction
prices and greatly appreciate pointers to the relevant hitherto research and
software in free domain.
Thanks, Alec
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