[R-SIG-Finance] Continuous Online GARCH

[Patrick Burns]

I don't know anything about that algorithm.
However, intraday garch is (or should be)
complicated because there is volatility
seasonality throughout the day.

On 09/07/2011 20:39, Noah Silverman wrote:
> Hi,
>
> In my readings, I've come across some mentions of  COGARCH which is a continuous estimation of GARCH as data streams in online.
>
> I can't find any R library that does this.  Does anyone know of one.
>
> Alternately, can someone outline the COGARCH algorithm in pseudo-code so that I can write my own in R or C?
>
> --
> Noah Silverman
> UCLA Department of Statistics
> 8117 Math Sciences Building
> Los Angeles, CA 90095
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>

-- 
Patrick Burns
patrick at burns-stat.com
http://www.burns-stat.com
http://www.portfolioprobe.com/blog
twitter: @portfolioprobe