rmgarch/GAS models GAS models/betategarch GAS/egarch/rmgarch
1. Has anyone experience with the score model packages, specially for packages working with rmgarch.
2. Can betategarch objects be used in rmgarch
3. Given the GAS limitation
� The multivariate GAS model for N>4 does not report the exact update for the correlation parameters since the Jacobian of the hyperspherical coordinates transformation needs to be coded for the case N>4. The Jacobian for N>4 is replaced by the identity matrix.
Can I go ahead and use the end product as the Jacobian is not a required output at this stage, or does this limitation not allow the software to work for more than 4
1. MSGARCH interfacing with rmgarch (as in cholette(2009))
Thanks to Alex Ghalanos, bitbucket has the current code with updated plot functionality in rmgarch objects.
Ph.D. in Finance and Accounting (tbd)
Indian Institute of Management, Lucknow
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