[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 

I was thinking maybe something with systemfit(), but I can't quite come 
up with it.


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