garchFit with fSeries

Here are some examples:


y <- data$SG
n <- length(y)
ret <- ts(log(y[2:n]/y[1:(n-1)]))

library(fGarch) 
fit <- garchFit(~garch(1, 1), data = ret) 
f <- predict(fit, n.ahead = 10) 
plot(fit)



--------------------------------------------------
From: "Yohan Chalabi" <chalabi at phys.ethz.ch>
Sent: Thursday, November 27, 2008 4:33 AM
To: "Im, Haekyung" <haekyung.im at credit-suisse.com>
Cc: <r-sig-finance at stat.math.ethz.ch>
Subject: Re: [R-SIG-Finance] garchFit with fSeries

"IH" == "Im, Haekyung" <haekyung.im at credit-suisse.com>
on Wed, 26 Nov 2008 11:55:20 -0500

  IH> Hi,
  IH>  
  IH> does garchFit function come with fSeries package? I installed the
  IH> package but can't find the function.
  IH>  
  IH> Thanks,
  IH> Haky


garchFit is part of the fGarch package.

regards,
Yohan

-- 
PhD student
Swiss Federal Institute of Technology
Zurich

www.ethz.ch

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