[R-SIG-Finance] garchFit() with dummies

Rich Ghazarian rich7804 at yahoo.com
Thu Aug 30 03:31:16 CEST 2007

I am trying to add monthly dummies and a threshold parameter to the garchFit() function, and I have seen the following post by Diethelm Wuertz
   myGarch = function(data, p, q)
        form = as.formula(paste("~garch(", p, ",", q, ")"))
        garchFit(formula.var = form, series = data)
    myGarch(data = garchSim(n = 1000, rseed = 4711), p = 1, q = 1)

how can O introduce the following binary dummies to be estimated 

Thank you


Comedy with an Edge to see what's on, when.

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