[R-SIG-Finance] racd package - Time-varying higher moment

[Le Hai Trung KNH]

Dear all,

I am currently working on the "racd" package of Alexios about modeling
time-varying higher moment for returns series.

In the package, however, there are limited choices of specifications for
the conditional variance, in compared with its predecessor “rugarch”.

I am just wondering how could I impose other specifications into the
conditional variance function, such as GIR-GARCH specification to account
for potential leverage effect in the series?

Best regards,

T

-- 
*Best regards, *
TRUNG

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