[R-SIG-Finance] EGARCH

[alexios]

It is NOT under "construction" on CRAN:
http://cran.r-project.org/web/packages/rugarch/index.html

-Alexios	


On 10/09/2011 08:33, Papa Senyo wrote:
> Please, it seems the rugarch package is under construction now. Do
> anyone have the zip file to share .
> kind regards
>
> ------------------------------------------------------------------------
> *Da:* 4dscape.com <alexios at 4dscape.com>
> *A:* Papa Senyo <papa.senyo at yahoo.it>
> *Cc:* "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
> *Inviato:* Venerdì 9 Settembre 2011 13:10
> *Oggetto:* Re: [R-SIG-Finance] EGARCH
>
> Please use the 'new' rugarch package which is now on CRAN (for
> univariate GARCH models). Also note some changes to the new ugarchspec
> method documented in the help files.
>
> Regards,
>
> Alexios
>
> On Sep 9, 2011, at 11:28, Papa Senyo <papa.senyo at yahoo.it
> <mailto:papa.senyo at yahoo.it>> wrote:
>
>  > Dear all,
>  > Please, I have a problem with the function ugarchspec (R says
> function not found) and cannot execute the command
>  > below. Any assistance.
>  > ar9<-arima(next.rtdm, order=c(5,0,0))
>  > b=acf(ar9$residuals)
>  > specm1 <- ugarchspec(variance.model=list(model="eGARCH",
> garchOrder=c(2,4), submodel = NULL),
>  > mean.model=list(armaOrder=c(5,0), include.mean=TRUE, garchInMean = TRUE))
>  >
>  > Kind regards
>  > Papa
>  >
>  > [[alternative HTML version deleted]]
>  >
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