[R-SIG-Finance] marginal model with AR-t-GARCH model
Joe W. Byers
Joe-Byers at utulsa.edu
Wed Aug 23 03:53:01 CEST 2006
Xiaochen Sun wrote:
> 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
I think you will have to define your own LL function and call optim to
fit the AR t Garch model. I'm not sure it is in fseries. I am working
on a GED distribution Garch myself for commodities. The documentation
on rmetrics website for Garch modelling has a example of the LL function
and the call to optim to fit the data as well as the code to calc SE,
Tstats, and Pvalues of the parameter estimates.
Are you fitting daily, hourly or other data? and what power market?
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