[R-sig-finance] some doubts in garch models

Ricardo Zambrano Aguilera Ricardo.Zambrano at corpbanca.cl
Thu Feb 16 15:56:55 CET 2006

Hi everyone i need some help , and a have a few questions....

i´m looking for an alghoritm to simulate garch process, (especially garch(1,1))
somebody can help me??

i need to know if our software has the Lagrange multiplier test of Engle to test for conditional heteroscedasticity??

i need to Extract Standardized Residuals from a garch model, to test all the properties...it´necessary or i commit a mistake, because it´s already standarized?? 

to get the data into (for analize...) garch process, always their Kurtosis must be larger than 3??


ricardo zambrano (ricardo.zambrano at corpbanca.cl)

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