[R-SIG-Finance] rcoplua.gauss sim problem
Joe W. Byers
ecjbosu at aol.com
Thu Sep 6 12:29:31 CEST 2007
I may not be the best for answering your questions, but will try.
garchFit may allow exogenous variable in the mean function thru the
parameter xreg (see arima and arimaFit for more information). The
variance equation in garchFit, to my knowledge, is limited to garch/arch
variance specification based on references in the help files.
I might recommend gamlss package for your question. It allows
specifications of exogenous variables in the variance equations and will
allow you to fit many different distributions to your data. It provides
AIC stats for model specification tests. I used gamlss in the example.
Also, be patient with rmetrics, they will respond. I am still waiting
on help with the rcopula question.
Rich Ghazarian wrote:
> I am new to R and enjoy reading your posting on [R-SIG-Finance] . I
am looking at your code and my limited ability is not allowing me to
help you with your problem, but I find it an excellent learning tool. I
have a question related to a GARCH estimation problem, looking at your
code I am trying to figure out if it is possible to impose seasonality
into the garchFit() or any function. I would like monthly dummies to
enter the garch process via alpha,.gamma, and beta. I know this is
done in Splus, but can't seem to figure it out in R. Given your
experience in R and Energy markets, I am hoping that you might have
encountered such problem in the past.
> I have tried to contact the owner of rmetrics, but I have not heard
anything. Your help is much appreciated
> Rich Ghazarian
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