GARCH for random time grid

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GARCH for random time grid

Alec Schmidt-2
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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Re: GARCH for random time grid

Eric Berger
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 <[hidden email]> 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]]
>
> _______________________________________________
> [hidden email] 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.

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Re: GARCH for random time grid

Rmetrics mailing list
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 <[hidden email]> 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 <[hidden email]> 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]]
>>
>> _______________________________________________
>> [hidden email] 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.
>
> _______________________________________________
> [hidden email] 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.

_______________________________________________
[hidden email] 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.