[R] Testing volatility cluster (heteroscedasticity) in stock return?

[Eko andryanto Prakasa]

Hi Michael,

I'm sorry for the mistake..
i don't know if it's not permitted to sent the same message to both (r-help and r-sig)....
Thank's a lot for the information...

Eko



 
----- Original Message -----
From: R. Michael Weylandt <michael.weylandt at gmail.com>
To: Eko andryanto Prakasa <eko.prakasa at yahoo.com>
Cc: "r-help at R-project.org" <r-help at r-project.org>
Sent: Monday, October 8, 2012 12:56 AM
Subject: Re: [R] Testing volatility cluster (heteroscedasticity) in stock return?

Hi Eko,

Please don't cross-post to both R-Help and R-SIG-Finance.

Michael

On Sun, Oct 7, 2012 at 6:49 PM, Eko andryanto Prakasa
<eko.prakasa at yahoo.com> wrote:
> Dear All,
> i want to use garch model in return of stock. and the data should presence volatility cluster (Heteroscedasticity).
> Do you know how to test volatility cluster (the presence of heteroscedasticity) in series data of stock return in R?
> Is it using Langrange Multiplier (LM)  ARCH test? what package i should use?
> I really need the help. Thanks for the attention.
> Eko A P
>
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