(no subject)
Look at the documentation for ugarchspec in the rgarch package. The option 'arfima' (TRUE/FALSE) is documented and rather self explanatory. Regards, -Alexios
On Jul 19, 2011, at 4:10, Amjad Ali <amjadali_ktk at yahoo.com> wrote:
Hi In the rgarch package I could not find the codes for simultaneous fitting of Autoregressive fractionally integrated Moving average model with GARCH errors i.e ARFIMA(p,d,q)-GARCH(r,s) model.in fGarch package the codes for fitting arma(p,q)-GARCH(r,s) is available but not for ARFIMA(p,d,q)-GARCH(r,s) . Please help in this regrad Regards Amjad Ali
________________________________ From: soren wilkening <me at censix.com> To: r-sig-finance at r-project.org Sent: Mon, July 18, 2011 11:52:18 PM Subject: Re: [R-SIG-Finance] (no subject) You could use the 'rgarch' package. Does everything you want and more. (of course there are alternatives as well) Soren ----- http://censix.com -- View this message in context: http://r.789695.n4.nabble.com/no-subject-tp3676098p3676133.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.