Multi-factor GARCH model
On 09/28/2012 10:40 AM, Serdar Neslihanoglu wrote:
Can you suggest any package for multi-factor GARCH ?
I already suggested rmgarch. you'll need to be more specific if there's something I'm missing here.
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock