Message-ID: <68b1e2610905010550w61616389h2267d6c4e7062504@mail.gmail.com>
Date: 2009-05-01T12:50:48Z
From: Liviu Andronic
Subject: fit NGARCH model
Dear all,
Can anyone suggest a library that allows for fitting Non-linear GARCH
models? Rmetrics seems not to provide this. I did find the rgarch [1]
package with fit.NGARCH(), but it is still unpublished on CRAN and is
marked "Development Status: 4 - Beta" (to be fair, same status as
Rmetrics). Perhaps someone is familiar with the package, and can hint
at its reliability.
Thank you,
Liviu
[1] http://rgarch.r-forge.r-project.org/index.html
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