[R-SIG-Finance] RUGARCH ugarchfilter

Eric Zivot ezivot at u.washington.edu
Thu Jul 26 18:34:20 CEST 2012

Given the recent posts on the use of the very nice rugarch package, I
thought I would point out my lecture notes on GARCH from my Quantitative
Risk Management course at UW. I use the rugarch and rmgarch packages
extensively in the course and I have a number of R examples and powerpoint
slides that illustrate the use of rugarch and rmgarch. I am also writing the
univariate GARCH and multivariate GARCH chapters in my new book Modeling
Financial Time Series with R to use the rugarch and rmgarch packages (among


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