[R-SIG-Finance] Continuous Online GARCH

[Noah Silverman]

Hi,

In my readings, I've come across some mentions of  COGARCH which is a continuous estimation of GARCH as data streams in online.

I can't find any R library that does this.  Does anyone know of one.

Alternately, can someone outline the COGARCH algorithm in pseudo-code so that I can write my own in R or C?

--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095