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

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view

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))

My query on git is hereunder:

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

Amit Mittal
Ph.D. in Finance and Accounting (tbd)
Indian Institute of Management, Lucknow
Mob: +91 7899381263

        [[alternative HTML version deleted]]

[hidden email] mailing list
-- 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.