Message-ID: <CCC0EDEC-C11D-41A4-8193-A3DD1765DBD1@4dscape.com>
Date: 2011-09-09T11:10:02Z
From: Alexios Ghalanos
Subject: EGARCH
In-Reply-To: <1315564132.39997.YahooMailNeo@web132314.mail.ird.yahoo.com>
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> 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
>
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>
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