[R-SIG-Finance] TGARCH

[markleeds at verizon.net]

  i can't help you but what does the T stand for ? threshold ? if it 
does, google "threshold garch" and i bet there's a paper on it and maybe 
that
can point to estimation code ?



On Thu, Oct 30, 2008 at  2:18 PM, Michael Zak wrote:

> Hi there
>
> Is there a solution how to use TGARCH in R? As far as I know, there is 
> no such function in R. With ARCH/GARCH I don't have a problem to find 
> and use it, but TGARCH?
>
> Thank you, Michael Zak
>
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