[R] GARCH models available

Adrian Trapletti Adrian.Trapletti at wu-wien.ac.at
Mon Oct 25 10:51:50 CEST 1999

tseries_0.3-0 at CRAN now contains the following new features:

NelPlo                   Nelson-Plosser Macroeconomic Time Series
garch                    Fit GARCH Models to Time Series
get.hist.quote           Download Historical Finance Data
jarque.bera.test         Jarque-Bera Test
na.remove                NA Handling Routines for Time Series

garch contains a GARCH estimation routine together with some of the
usual methods (print, plot, summary etc.). I plan to further implement a
simulate.garch() and to extend predict.garch() for multi-step forecasts.

For those who like to play with stock market data, get.hist.quote()
allows to download yahoo-finance data directly over the www into R time

Testing, suggestions, and comments are welcome!


Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708,
Email: adrian.trapletti at wu-wien.ac.at

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