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

[Diethelm Wuertz]

Ricardo Zambrano Aguilera wrote:

>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??
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>
The new garchFit() function in fSeries 221.10065 in Rmetrics can do this 
job.
(It reproduces the FCP bechmark.)

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

>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?? 
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That is automatically be done

Have a look on the garch paper on www.rmetrics.org

best regards
DW

>
>to get the data into (for analize...) garch process, always their Kurtosis must be larger than 3??
>
>thxs
>
>
>greetings 
>ricardo zambrano (ricardo.zambrano at corpbanca.cl)
>
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