>>>> "SB" == "Stefano Balietti" <
futur.dorko@...>
>>>> on Tue, 15 Apr 2008 21:27:39 +0200
SB> Hi,
SB> I'm looking for R packages able to perform GARCH-like fitting
SB> (estimates),
SB> such as fGarch, tseries and FinTS, but that allow me to
SB> specify extra
SB> regressors for the mean equation. It doesn't seem to me
SB> that the
SB> above-mentioned packages permit that, but maybe I'm
SB> wrong. However, does
SB> anyone have any suggestion?
SB>
SB> Cheers,
SB>
SB> Stefano Balietti
SB>
As far as fGarch is concerned, you can only specify the arma regressors
for the mean equation. However, the functions in fGarch are quite
modular and it should not be too much of work to add new regressor to
the mean equation.
regards,
Yohan
--
The 2nd International R/Rmetrics User and Developer Workshop ...
[
http://www.rmetrics.org]
_______________________________________________
R-SIG-Finance@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only.
-- If you want to post, subscribe first.
