[R] modell time series with AR-Garch modell
adrian at lmttrading.com
Tue May 20 15:19:27 CEST 2003
----- Original Message -----
From: "Marc Schroeder" <marc.schroeder at iaew.rwth-aachen.de>
To: "R-help at lists.R-project.org" <R-help at stat.math.ethz.ch>
Sent: Tuesday, May 20, 2003 10:45 AM
Subject: [R] modell time series with AR-Garch modell
> Hi R-community!
> Is there a possibility in R to model a time series with a so called
Not in one step. What can be done is modelling the time series with the
function AR from ts in the first step and then modelling the residuals from
the first step with the function GARCH from tseries.
>AR-GARCH is a composite modell consisting of an autoregressive
> process with an GARCH error term.
> Thanks in advance
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