Raghu,

There are a few packages that will give you the ability to model
volatility in R. The various GARCH packages will be able to do this, but
the GARCH model is not smile/skew sensitive. The Rmetrics suite also has
some Heston-Nandi capabilities. My personal favourite vol model is the
SABR model, but it doesn't appear to have been implemented yet. I might
have to get around to doing that someday, but if you want to implement
it yourself then the code (in VBA) can be found in Haug's book,
somewhere in the middle.

On Sun, 2011-05-22 at 10:50 +0100, Raghuraman Ramachandran wrote:

> Dear All
> 
> Are there any volatility models that are available as built-in packages in R
> pls? Specifically, if one inputs a time series then the output might be a
> series of volatilities including skews across strikes?
> 
> Many thanks for your kind assistance,
> Raghu
> 
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