[R-SIG-Finance] Need help with my Code for complex GARCH (GJR-GARCH)

[Brian G. Peterson]

<on-list so others can benefit>

On Sun, 2011-11-27 at 16:02 +0100, linus holtermann wrote:
> Hello,
> 
> thats a good idea. 

> how can I extract the R source code of GJR in the fGarch or rugarch-package?

Why do you feel that you should start with the source rather than the
package documentation and examples. fGarch supports many GARCH
methodologies, including GJR Garch, and rgarch has extensive
documentation and examples for all of its methods.  Please avail
yourself first of the documentation provided by the package authors.
 
As with any R function, the source code is of course available.
 
You can simply type the name of the function without parameters to see
the parsed function source.  This will omit any comments the author may
have in the original sources.

Both rgarch and fGarch are hosted on R-Forge, so you could also browse
the source code there.

> Do you know how to compute the robust covariance matrix?
> Thanks

The R package 'sandwich contains multiple methods for computing robust
covariance matrices, and there are other packages that contain various
robust covariance methodologies as well.  You'd need to be more specific
about which method you hope to employ, and perhaps search a bit before
asking for help.


If you post a follow up query to the list, please take the time to use a
publicly available data set and make your example code completely
reproducible.  This will aid others who may be inclined to help you
resolve your issue.

Regards,

  - Brian

> -------- Original-Nachricht --------
> > Von: "Brian G. Peterson" <brian at braverock.com>
> > An: Lin23 <linusholtermann at gmx.de>
> > CC: r-sig-finance at r-project.org
> > Betreff: Re: [R-SIG-Finance] Need help with my Code for complex GARCH (GJR-GARCH)
> 
> > On Sun, 2011-11-27 at 04:43 -0800, Lin23 wrote:
> > > i want to estimate a complex GARCH-model (see below). 
> > > http://r.789695.n4.nabble.com/file/n4112387/GJR_Garch.png  
> > 
> > Is there a reason that the GJR GARCH functionality in the fGarch or
> > rgarch packages doesn't fit your requirements?
> > 
> > Don't you think it might be faster to start with the code in one of
> > those packages and extend it, rather than starting from scratch?
> > 
> > Regards,
> > 
> >    - Brian
> > 
> > -- 
> > Brian G. Peterson
> > http://braverock.com/brian/
> > Ph: 773-459-4973
> > IM: bgpbraverock
> > 
> 

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock