[R-SIG-Finance] fit NGARCH model

Liviu Andronic landronimirc at gmail.com
Fri May 1 14:50:48 CEST 2009

Dear all,
Can anyone suggest a library that allows for fitting Non-linear GARCH
models? Rmetrics seems not to provide this. I did find the rgarch [1]
package with fit.NGARCH(), but it is still unpublished on CRAN and is
marked "Development Status: 4 - Beta" (to be fair, same status as
Rmetrics). Perhaps someone is familiar with the package, and can hint
at its reliability.
Thank you,

[1] http://rgarch.r-forge.r-project.org/index.html

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