[R-SIG-Finance] GARCH with variance targeting, stable distribution

Jens Fricke Jens.Fricke1 at gmx.de
Sun Sep 9 21:19:59 CEST 2007

Dear All,

I am searching for a possibility to use the garch estimation with  
variance targeting, i.e. first estimate the parameter a_0 in a garch  
model (h_i=a_0+a_1*r_i-1^2+b_1*h_i-1) based on the unconditional  
variance sigma^2: a_0=sigma^2*(1-a_1-b_1). Then, in a second step,  
optimize the other parameters a_1, b_1. Is there a way to use the  
"garch" routines or to incorporate that into the current functions?

In addition, are there possibilities to estimate GARCH models with  
assumed stable distribution?

Thank you very much for your help.

Best regards,


More information about the R-SIG-Finance mailing list