[R-sig-Finance] [R]how to estimate adding-regression GARCH Model
Diethelm Wuertz
wuertz at itp.phys.ethz.ch
Mon May 22 13:40:57 CEST 2006
The supported models are restircted to those listed in the help page.
For the family of GARCH models these are in its moste general form
ARMA(m,n)-APARCH(p,q).
I have not considered to add regression.
Diethelm Wuertz
ma yuchao wrote:
> Hello, R people:
>
> I have a question in using fSeries package--the funciton garchFit and
>garchOxFit
> if adding a regression to the mean formula, how to estimate the model in
>R? using garchFit or garchOxFit?
> For example, Observations is {x,y}_t,there may be some relation between x
>and y.
> the model is
> y_t=gamma0 + *gamma1*x_t*+psi*e_{t-1}+e_t the gamma1*x_t is
>regression.
> e_t=sqrt(h_t)*N(0,1)
> h_t=alpha0+alpha1*e_t^2+beta*h_{t_1}~~~~~~~GARCH(1,1).
> I didn't know how to estimate the model using function garchFit or
>garchOxFit or other functions? because the argument in
>garchFit/garchOxFit is formular.mean=~arma(1,1).
>
> Do you have some instrucitons?
> thank you very much for you help.
>
>Best wishes
>
>Ma Yuchao
>
> [[alternative HTML version deleted]]
>
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