rmgarch/GAS models GAS models/betategarch GAS/egarch/rmgarch

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rmgarch/GAS models GAS models/betategarch GAS/egarch/rmgarch

Amit Mittal
  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))

My query on git is hereunder:
https://github.com/amitmittal-9294/PlutoMSDCCVineMidas/issues/1

Thanks to Alex Ghalanos, bitbucket has the current code with updated plot functionality in rmgarch objects.

BR
______________________________
Amit Mittal
Ph.D. in Finance and Accounting (tbd)
Indian Institute of Management, Lucknow
http://ssrn.com/author=2665511
Mob: +91 7899381263
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