Estimate garch model by GMM

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Estimate garch model by GMM

Osama Mostafa
Dear Professors



Hope this e-mail find you well. I am currently doing my Masters in
statistics and econometrics and my thesis is about the Properties and
Estimation of Garch Models and their applications I need to know if it is
to possible to estimate Garch model by Generalized Method of Moments
<http://cameron.econ.ucdavis.edu/mmabook/transparencies/ct06_gmm.pdf>

 (GMM) method using R . and If it possible I need a example of it by coding



My sincere regards,

ossama

        [[alternative HTML version deleted]]

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and provide commented, minimal, self-contained, reproducible code.
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Re: Estimate garch model by GMM

Sarah Goslee
Hi,

The very useful search engine rseek.org lists a lot of packages,
functions, and tutorials for Garch modeling in R. Perhaps some of
those meet your requirements.

Sarah

On Wed, Jul 8, 2020 at 3:02 PM Osama Mostafa <[hidden email]> wrote:

>
> Dear Professors
>
>
>
> Hope this e-mail find you well. I am currently doing my Masters in
> statistics and econometrics and my thesis is about the Properties and
> Estimation of Garch Models and their applications I need to know if it is
> to possible to estimate Garch model by Generalized Method of Moments
> <http://cameron.econ.ucdavis.edu/mmabook/transparencies/ct06_gmm.pdf>
>
>  (GMM) method using R . and If it possible I need a example of it by coding
>
>
>
> My sincere regards,
>
> ossama
>
>         [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.



--
Sarah Goslee (she/her)
http://www.numberwright.com

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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Re: Estimate garch model by GMM

Bert Gunter-2
In reply to this post by Osama Mostafa
Well, as a first suggestion, you should improve your research skills before
posting here: A web search on "garch models in R" came up with what looked
like many useful hits (including rugarch).

See also the GARCH section of the CRAN Time Series CRAN task view

https://CRAN.R-project.org/view=TimeSeries

Also read the posting guide for this list linked below to learn how to post
properly (for example, post in plain text, not HTML, which can get mangled).

Bert Gunter

"The trouble with having an open mind is that people keep coming along and
sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )


On Wed, Jul 8, 2020 at 12:02 PM Osama Mostafa <[hidden email]>
wrote:

> Dear Professors
>
>
>
> Hope this e-mail find you well. I am currently doing my Masters in
> statistics and econometrics and my thesis is about the Properties and
> Estimation of Garch Models and their applications I need to know if it is
> to possible to estimate Garch model by Generalized Method of Moments
> <http://cameron.econ.ucdavis.edu/mmabook/transparencies/ct06_gmm.pdf>
>
>  (GMM) method using R . and If it possible I need a example of it by coding
>
>
>
> My sincere regards,
>
> ossama
>
>         [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

        [[alternative HTML version deleted]]

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.