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

[Mark Leeds]

Just to let you know, Eric Zivot has a fairly recent and interesting paper
on arch/garch modeling at his website. I haven't read it carefully yet ( I
more just glanced through it )  but maybe you'd want to look at that paper
before you make your tutorial. Thanks for all your work.


                                             Mark

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Yohan Chalabi
Sent: Thursday, June 05, 2008 4:20 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Demystification of GARCH modeling with fGarch

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

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

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