[R] Simultaneous estimation of mean and garch eq'n

Campbell p.campbell at econ.bbk.ac.uk
Fri May 20 10:00:53 CEST 2005

This might be one of those situations in which you should say what what
you are trying to do rather than how you are trying to do it.  It is my
understanding that estimates of b are asymptotically well behaved in
this situation, at least for b<1.  If, however, you are trying to get
CI's for b in finite samples conditioned upon the errors being generated
by a GARCH process then this is a different issue.



>>> Tobias Muhlhofer <t.muhlhofer at lse.ac.uk> 05/19/05 9:56 PM >>>
Is it possible to simultaneously estimate mean and GARCH parameters in

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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