I'd like to calculate GARCH-type volatility on a random grid using transaction prices and greatly appreciate pointers to the relevant hitherto research and software in free domain. Thanks, Alec
GARCH for random time grid
3 messages · Alec Schmidt, Eric Berger, Jason Hart
1 day later
Hi Alec, Check out the CRAN task views for a) Empirical Finance https://cran.r-project.org/web/views/Finance.html and b) Time Series: https://cran.r-project.org/web/views/TimeSeries.html In each of the above if you search for 'garch' (or GARCH) you will find many pointers to what is available on CRAN, the central repository for R packages. HTH, Eric
On Fri, Nov 22, 2019 at 4:54 PM Alec Schmidt <aschmid1 at stevens.edu> wrote:
I'd like to calculate GARCH-type volatility on a random grid using transaction prices and greatly appreciate pointers to the relevant hitherto research and software in free domain.
Thanks, Alec
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_______________________________________________ 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.
Thanks for sharing Eric. A lot of neat packages in here that I wasn?t aware of Sent from my iPhone
On Nov 23, 2019, at 1:36 PM, Eric Berger <ericjberger at gmail.com> wrote: ?Hi Alec, Check out the CRAN task views for a) Empirical Finance https://cran.r-project.org/web/views/Finance.html and b) Time Series: https://cran.r-project.org/web/views/TimeSeries.html In each of the above if you search for 'garch' (or GARCH) you will find many pointers to what is available on CRAN, the central repository for R packages. HTH, Eric
On Fri, Nov 22, 2019 at 4:54 PM Alec Schmidt <aschmid1 at stevens.edu> wrote:
I'd like to calculate GARCH-type volatility on a random grid using transaction prices and greatly appreciate pointers to the relevant hitherto research and software in free domain.
Thanks, Alec
[[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.
_______________________________________________ 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.