[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.
More information about the R-help
mailing list