[R] Prediction using ARCH

Preetam Pal lordpreetam at gmail.com
Sat Nov 15 11:23:22 CET 2014


I have two variables, FTSE100 and CPI . Call them Y and X respectively.
I want to fit an ARCH(1) to model Y on X. I also intend to predict the
values of Y for future (given) values of X. How can I use R for such

Another question is: is there a way I can call an R function which would
return me the optimal p for the ARCH(p)  model?

I have attached the Excel data in case it is required.


More information about the R-help mailing list