[R-SIG-Finance] Demystification of GARCH modeling with fGarch

[Yohan Chalabi]

Dear all,

I am working on a tutorial which would focus on the  common issues in GARCH/APARCH modeling. The idea is to give hints how to choose the optimization parameters,  the starting values, the distribution and how to properly scale the data.

This tutorial is meant to be very practical and I would like to have some input from the r-sig-finance community. If you have examples where garchFit badly failed for you, it would be great if you could send me your dataset with the R code you used. If you have any other comments or questions about fGarch, feel free to write me. 

Thanks!

Regards,
Yohan

-- 
PhD student
Swiss Federal Institute of Technology
Zurich

www.ethz.ch
www.rmetrics.org

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