[R-SIG-Finance] MAR-ARCH

[Jeff Ryan]

Nigel,

Something like:

http://www.vsthost.com/RStuff.html

Not too sure how updated/functional it is, but thought I'd post in
case you didn't google for it yourself.

Jeff


On 10/21/07, Nigel.Walker at studentmail.newcastle.edu.au
<Nigel.Walker at studentmail.newcastle.edu.au> wrote:
> Hi list,
> I am currently examining mixture time series models. I was wondering if anyone would have or know where to obtain an estimation code for the MAR-ARCH or MGARCH models? The MGARCH is a mixture of autoregressive components with generalized autoregressive conditional heteroscedasticy.
> I would prefer the code in R but any program will do.
>
> Any help would be very much appreciated,
>
> Nigel
>
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