[R] I need help with the mean equation in rgarch package

mariam achkir mariamachkir at gmail.com
Thu Jun 16 22:00:15 CEST 2011


Dear R users,

I hope this email finds you well,

My name is Mariam and I am currently using R in my thesis
project. I is about modeling investors' sentiment.
My R skills are very modest and I am trying to solve a Garch in mean
equation using the "rgarch" package.
The main issue I am facing is with the mean equation, and I need a
code for it or a lead on how to edit already existing functions.
My mean equation looks like the this:

Return = alpha + C1*Variance - (C3 + C4*Variance)*pastReturn - (C5 +
C6*Variance)*pastReturn + error ; (C3 and C4 if pastReturn > 0, C5 and
C6 if pastReturn<0)

The variance is modeled following a GARCH or eGARCH process, but this
can be done using the rgarch library.

Thank you so much for your consideration and help. I hope to hear from you soon

Best Regards,
Mariam.



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