[R] VAR with GARCH effect

[David Winsemius]

On Mar 5, 2012, at 10:51 AM, mamush bukana wrote:

> Dear John,
> Thanks for your prompt response. But I can't get "rmgarch" package.


http://www.rseek.org/?cx=010923144343702598753%3Aboaz1reyxd4&q=rmgarch&cof=FORID%3A11


> Rather
> I got some package, "rugarch", in my search to "rmgarch". This package
> (rugarch), however, does not solve  my problem. My question  
> specifically is
> to estimate and simulate model like:
>
> x_t = A1*x_{t-1} + A2*x_{t-2} + ... + Ap*x_{t-p} + error
>
> allowing garch effect in the error term(my data looks hetroskedastic).
>
> Thanks
>
>
>
>
>
> On Mon, Mar 5, 2012 at 1:46 PM, John Kerpel <john.kerpel at gmail.com>  
> wrote:
>
>> See the rmgarch package.
>>
>> On Mon, Mar 5, 2012 at 6:09 AM, mamush bukana  
>> <mamushbukana at gmail.com>wrote:
>>
>>> Dear list,
>>> Can one suggest me if there is an R function/package to estimate and
>>> simulate vector autoregressive (VAR) model allowing for the GARCH  
>>> effect
>>> please?
>>>
>>> Thanks
>>>
>>> Mamush
>>>
>>>       [[alternative HTML version deleted]]
>>>
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>>
>>
>
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

David Winsemius, MD
West Hartford, CT