[R-SIG-Finance] Garch fitting with mean regressors

Yohan Chalabi chalabi at phys.ethz.ch
Wed Apr 16 08:21:12 CEST 2008

>>>> "SB" == "Stefano Balietti" <futur.dorko at gmail.com>
>>>> on Tue, 15 Apr 2008 21:27:39 +0200

   SB> Hi,
   SB> I'm looking for R packages able to perform GARCH-like fitting
   SB> (estimates),
   SB> such as fGarch, tseries and FinTS, but that allow me to
   SB> specify extra
   SB> regressors for the mean equation. It doesn't seem to me
   SB> that the
   SB> above-mentioned packages permit that, but maybe I'm
   SB> wrong. However,  does
   SB> anyone have any suggestion?
   SB> Cheers,
   SB> Stefano Balietti
As far as fGarch is concerned, you can only specify the arma regressors
for the mean equation. However, the functions in fGarch are quite
modular and it should not be too much of work to add new regressor to
the mean equation. 



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