[R] Estimate garch model by GMM

Sarah Goslee @@r@h@go@|ee @end|ng |rom gm@||@com
Wed Jul 8 22:00:04 CEST 2020


The very useful search engine rseek.org lists a lot of packages,
functions, and tutorials for Garch modeling in R. Perhaps some of
those meet your requirements.


On Wed, Jul 8, 2020 at 3:02 PM Osama Mostafa <osama78hefny using gmail.com> wrote:
> Dear Professors
> Hope this e-mail find you well. I am currently doing my Masters in
> statistics and econometrics and my thesis is about the Properties and
> Estimation of Garch Models and their applications I need to know if it is
> to possible to estimate Garch model by Generalized Method of Moments
> <http://cameron.econ.ucdavis.edu/mmabook/transparencies/ct06_gmm.pdf>
>  (GMM) method using R . and If it possible I need a example of it by coding
> My sincere regards,
> ossama
>         [[alternative HTML version deleted]]
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> and provide commented, minimal, self-contained, reproducible code.

Sarah Goslee (she/her)

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