Hi,
the fGarch package is designed for estimation, simulation and forecasting of APARCH models, which nest the GJR and the TGARCH models. The most recent development version of the code can be found here:
http://r-forge.r-project.org/projects/rmetrics/Regards,
Michal
----- Original Message ----
From: Renato Costa <
noldo22@...>
To:
r-sig-finance@...
Sent: Friday, May 23, 2008 7:52:23 PM
Subject: [R-SIG-Finance] GARCH-like models
I need to change the code of Garch to the FCGARCH (a non-linear multi-regime
GARCH).
I don't know nothing about R.
I'd like to know how can I get the code of the garch in order to change it
to simulate and make the fit for the FC-GARCH.
Any non-linear code will be helpfull because if doesn't help in the
programming it helps in getting familiar with R.
Is there packages including GJR, TGARCH, SETAR etc??
Thank you
Renato
--
PhD Student Renato Alencar Adelino da Costa (
renato@...)
Department of Electrical Engineering (Mathematical Finance)
Pontifical Catholic University (PUC-Rio)
Rua Marques de Sao Vicente, 225, Sala 604L
Gavea CEP: 22453-900
Rio de Janeiro
BRASIL
tel.:55-21-3527-1205
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