[R] GARCH estimation

Allin Cottrell cottrell at wfu.edu
Thu Mar 13 14:27:32 CET 2003

Anyone know if there's an R package somewhere that supports estimation
of a linear regression model with GARCH error process?

There's a garch command in the tseries package, but unless I'm missing
something it is restricted to the univariate case, i.e. you can fit a
GARCH model to a single time-series but not estimate a model with
GARCH errors.

Allin Cottrell
Department of Economics
Wake Forest University, NC

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