[R] Simultaneous estimation of mean and garch eq'n
Tobias Muhlhofer
t.muhlhofer at lse.ac.uk
Thu May 19 22:56:53 CEST 2005
Is it possible to simultaneously estimate mean and GARCH parameters in R?
In other words, I would like to estimate the normal regression equation
Y = b X + u
and simultaneously do a garch process on the u's to correct the standard
errors.
I was thinking maybe something with systemfit(), but I can't quite come
up with it.
Thanks,
Tobias
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