[R-SIG-Finance] Garch model

alexios ghalanos alexios at 4dscape.com
Thu May 23 23:09:18 CEST 2013


Looks like a jump GARCH model. Haven't seen anything in R.
Have been considering its implementation for some time based on the Chan 
and Maheu (2002) paper 
(www.ecn.ulaval.ca/~sgor/cours/ecn66054/articles/ChanMaheu.pdf‎)

There is some RATS code for this here:
http://www.estima.com/forum/viewtopic.php?f=8&t=1578

Regards,
Alexios


On 23/05/2013 20:08, Christofer Bogaso wrote:
> Hello again, I am trying to estimate the parameters of following Garch
> model:
>
> r[t] = Mu + K * Sigma[t] + Z[t] * Sigma[t] + sum( on j from 1 to st)Nu[j]
>
> Z[t] ~ N(0, 1)
>
> st ~ Poisson[Lambda]
>
> Nu[j] ~ N(0, v)
>
> Sigma[t] ~ Garch(1,1)
>
> I have the time series for r[t] for 500 days.
>
> Can someone point me if there is any R function to achieve the estimation
> of those parameters?
>
> Some research paper on the estimation of same, also be really beneficial.
>
> Thanks for your help.
>
> Thanks and regards,
>
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>
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