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Dear Rmetrics Core Team,

I am about to undertake a project involving GARCH modeling and I was planning on using fGarch.

Despite the maturity of the package, it does appear to lack two items which are of interest to me:
Exponential GARCH models
Ability to fix the long term volatility (volatility targeting)
While I am pretty sure that I could easily modify the existing code to allow me to implement point 2, I would imagine that 1 requires considerable effort.

Has any work been done on implementing E-GARCH? If so, I do not want to duplicate another's efforts and I would be interested in knowing what the progress is on that front. If not, could you advise me on how I could implement it in the Rmetrics package (the coding guidelines on your wiki has not yet been written)? I am a relatively skilled R user, capable of writing my own custom functions, but my knowledge of FORTRAN is quite basic and I have no experience using C/C++.

Let me just say that the coverage of implemented models is already large, and I fully understand that you cannot implement every single GARCH model. Despite lacking E-GARCH, I appreciate the effort that has gone into all of the Rmetrics packages and look forward to any and all future developments from your side.

Kind regards,





Stefan Janse van Rensburg
Macroprudential Division
Financial Stability Department
SARB
Tel : 012-313 4687
Fax : 012 313 4772

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