EGARCH

Please, it seems the rugarch package is under construction now. Do
anyone have the zip file to share .
kind regards

------------------------------------------------------------------------
*Da:* 4dscape.com <alexios at 4dscape.com>
*A:* Papa Senyo <papa.senyo at yahoo.it>
*Cc:* "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
*Inviato:* Venerd? 9 Settembre 2011 13:10
*Oggetto:* Re: [R-SIG-Finance] EGARCH

Please use the 'new' rugarch package which is now on CRAN (for
univariate GARCH models). Also note some changes to the new ugarchspec
method documented in the help files.

Regards,

Alexios

On Sep 9, 2011, at 11:28, Papa Senyo <papa.senyo at yahoo.it
<mailto:papa.senyo at yahoo.it>> wrote:

 > Dear all,
 > Please, I have a problem with the function ugarchspec (R says

function not found) and cannot execute the command

 > below. Any assistance.
 > ar9<-arima(next.rtdm, order=c(5,0,0))
 > b=acf(ar9$residuals)
 > specm1 <- ugarchspec(variance.model=list(model="eGARCH",

garchOrder=c(2,4), submodel = NULL),

 > mean.model=list(armaOrder=c(5,0), include.mean=TRUE, garchInMean = TRUE))
 >
 > Kind regards
 > Papa
 >
 > [[alternative HTML version deleted]]
 >
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