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

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

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EGARCH

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