[R-SIG-Finance] Seasonal GARCH

Gabor Grothendieck ggrothendieck at gmail.com
Mon Apr 7 04:00:01 CEST 2008

On Sun, Apr 6, 2008 at 9:49 PM,  <markleeds at verizon.net> wrote:
> >From: Spencer Graves <spencer.graves at pdf.com>
> >Date: 2008/04/06 Sun PM 08:38:58 CDT
> >To: ihernan at stat.berkeley.edu
> >Cc: r-sig-finance at stat.math.ethz.ch
> >Subject: Re: [R-SIG-Finance] Seasonal GARCH
> I've never used garchFit but one other possibility
> is to use the fact that an ARCH model of the volatility
> is the same as an AR whatever on sigma squared
> , with some subtle, slight differences that I can't
> recall. So, using that relation, you may be
> able to use an AR ( so one of the arima functions )
> but be careful because it doesn't imply EXACTLY
> the same model but it's close.
> I forget which text talks about the close but no cigar relation but my guess is that it's in Hamilton's or Zivot's text.

Its mentioned in Lutkepohl's book, New Intro to
Multiple Time Series Analysis.

More information about the R-SIG-Finance mailing list