MAR-ARCH
Nigel, Something like: http://www.vsthost.com/RStuff.html Not too sure how updated/functional it is, but thought I'd post in case you didn't google for it yourself. Jeff On 10/21/07, Nigel.Walker at studentmail.newcastle.edu.au
<Nigel.Walker at studentmail.newcastle.edu.au> wrote:
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
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