[R-SIG-Finance] marginal model with AR-t-GARCH model

Xiaochen Sun Xiaochen.Sun at brunel.ac.uk
Tue Aug 22 12:17:13 CEST 2006


Dear list,
 
I am now dealing with the time series data from electricity market, regarding the marginal modelling I wonder how to fit data with AR-t-GARCH model in R or S-plus.
 
Many thanks.
 
With regards
Mc



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