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MAR-ARCH

Nigel.Walker at studentmail.newcastle.edu.au 
Hi list,
I am currently examining mixture time series models. I was wondering if anyone would have or know where to obtain an estimation code for the MAR-ARCH or MGARCH models? The MGARCH is a mixture of autoregressive components with generalized autoregressive conditional heteroscedasticy. 
I would prefer the code in R but any program will do.

Any help would be very much appreciated,

Nigel

Thread (4 messages)

Nigel.Walker at studentmail.newcastle.edu.au MAR-ARCH Oct 21 Jeff Ryan MAR-ARCH Oct 21 Ajay Shah MAR-ARCH Oct 21 Dirk Eddelbuettel MAR-ARCH Oct 21