[R-SIG-Finance] MAR-ARCH

[Dirk Eddelbuettel]

On 21 October 2007 at 20:06, Ajay Shah wrote:
| > http://www.vsthost.com/RStuff.html
| 
| The mgarchBEKK package looks quite exciting, but it seems to have
| stopped working beyond R 2.4.

Yes, and moreover, mgarchBEKK is multivariate Garch, ie a specification of
2nd moments only. As I understood the original poster, he is looking for
'mixture AR in the mean' plus Garch in 2nd moments, and mgarchBEKK doesn't
help there.

Dirk

-- 
Three out of two people have difficulties with fractions.