MAR-ARCH
On 21 October 2007 at 20:06, Ajay Shah wrote:
| > http://www.vsthost.com/RStuff.html | | The mgarchBEKK package looks quite exciting, but it seems to have | stopped working beyond R 2.4. Yes, and moreover, mgarchBEKK is multivariate Garch, ie a specification of 2nd moments only. As I understood the original poster, he is looking for 'mixture AR in the mean' plus Garch in 2nd moments, and mgarchBEKK doesn't help there. Dirk
Three out of two people have difficulties with fractions.