[R-SIG-Finance] Estimating the T-S Garch model

Yohan Chalabi chalabi at phys.ethz.ch
Tue May 6 10:15:03 CEST 2008

>>>> "MM" == michal miklovic <mmiklovic at yahoo.com>
>>>> on Thu, 1 May 2008 14:58:29 -0700 (PDT)

   MM> it is a bug and it has already been solved in the
   MM> development version of fGarch. Rmetrics development web is
   MM> at: http://r-forge.r-project.org/projects/rmetrics
   MM> where you can find the latest versions of all
   MM> packages. Download the zipped Windows binaries and install
   MM> them in the following order:
   MM> fUtilities, fEcofin, fCalendar, fSeries, fImport, fBasics,
   MM> fBonds, fArma, fGarch, fTrading, fExtremes, fNonlinear,
   MM> fOptions, fAsianOptions, fExoticOptions, fUnitRoots,
   MM> fMultivar, fCopulae, fRegression, fAssets, fPortfolio,
   MM> Rmetrics
   MM> and the estimation should work fine.

Note you can use the script installRmetrics to install "fGarch"
development package with

installRmetrics("fGarch", repos="http://R-Forge.R-project.org")

Or any other Rmetrics development package...


PhD student
Swiss Federal Institute of Technology


Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
June 29th - July 3rd Meielisalp, Lake Thune, Switzerland

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