[R] Codes; White's heteroscedasticity test and GARCH models

[Achim Zeileis]

Spyros:

>   I have just recently started using R and was wondering whether anybody
>   had a code written for White's heteroscedasticity correction for
>   standard errors.

See package "sandwich", particularly functions vcovHC() and sandwich().

>   Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean
>   models for modelling regression residuals?

See function garch() in package "tseries".

Furthermore, the econometrics and finance task views might be helpful for
you:
  http://CRAN.R-project.org/src/contrib/Views/Econometrics.html
  http://CRAN.R-project.org/src/contrib/Views/Finance.html

hth,
Z