[R-SIG-Finance] GARCH-M?
Spencer Graves
spencer.graves at pdf.com
Sat Feb 23 22:04:48 CET 2008
Hi, All:
What facilities are available in R for GARCH-M estimation, defined
in Tsay (2005, p. 123) as follows:
r[t] = mu + c*s[t]^2 + a[t],
a[t] = s[t]*e[t],
s[t]^2 = alpha0 + alpha1 * a[t-1]^2 + beta1 * s[t-1]^2,
where r[t] = (log) returns of a financial instrument with volatility
premium "c".
Thanks,
Spencer
Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)
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