On Mon, Oct 19, 2009 at 6:37 AM, Xu, Ke-Li <keli@bus.ualberta.ca> wrote:

>  Hi there,
>
> Thanks for your previous help on R. Do you know how to estimate an IGARCH
> (integrated GARCH) model in R? I need it when I estimate the Value at Risk
> following RiskMetrics methodology.
>
> regards,
> Keli
>
>
Hi Keli,

I would like to point you to the website:
www.rseek.org

I don't know anything at all about IGARCH, but a quick search pointed me to:
http://rgarch.r-forge.r-project.org/
which seem to include the mentioned mode.

I would also recommend that you subscribe to R-help at
https://stat.ethz.ch/mailman/listinfo/r-help
and send questions there instead of directly to me (who is not much of an R
expert...)

best regards, and good luck

Gustaf



-- 
Gustaf Rydevik, M.Sci.
tel: +46(0)703 051 451
address:Essingetorget 40,112 66 Stockholm, SE
skype:gustaf_rydevik

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