 
See
 
Dean
Fantazzini (2011) Fractionally Integrated Models for Volatility: A Review -
Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH, Moscow
School of Economics; National Research University Higher School of Economics
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1752095

   

________________________________
 From: 박소영 <drsoyoung66@naver.com>
To: R-HELP@r-project.org 
Sent: Thursday, 31 January 2013, 7:28
Subject: [R] I want to download "garchOxFit" function.
  
Dear R help.

Hello.

I want to fit the model of "FIGARCH" on TimeSeries data.
So I need to use the code of "garchOxFit".
I don't know how to estimate FIGARCH model.

Please let me know which package I need and 
what is procedure of estimating FIGARCH by R.

I think I need this code!


&gt; garchOxFit(formula.mean = arma(0, 0), formula.var = garch(1,1), series
= x, cond.dist = c("gaussian", "t", "ged", "skewed-t"), include.mean =
TRUE, truncation = 100, trace = TRUE, title = NULL, description = NULL,
arch.in.mean=0, include.var=TRUE)

Thank you for reading email.
I am waiting for your kind reply.

Best,
Soyoung Park.


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