[R] Estimating EGARCH processes with R

[Patrick Brandt]

There are a number of GARCH models available in the fSeries package -- 
including models with t an skew-t distributions.

--Patrick

-- 
Patrick T. Brandt
Assistant Professor
Department of Political Science
University of North Texas
brandt at unt.edu
http://www.psci.unt.edu/~brandt



Tsvetelin Tsvetanski wrote:

>Hallo,
> 
>I am a student specializing statistics and econometrics in germany. I know there is a way to program EGARCH-processes (time series analyses) in R. 
>If you are ackquainted with statistics already you know that there is nothing but a theorethical use of GARCH-Package in R. Not only because the distribution is gaussian, but also because the skewdness and leptokurthosis are not quite good estimated.
>Matlab Toolbox for estimating EGARCH-processes "GARCH 2.0.2" is therefore better, but not free....
>Well, the most things in life are not free, but knowledge must solve the problem.
> 
>Can you help me construct own EGARCH function wth t-distribution in R?
> 
>best regards
> 
>Tsvetelin Tsvetanski
>
>
>		
>---------------------------------
>
>
>	[[alternative HTML version deleted]]
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
>  
>