Re: R: garch models in octave

[Kamaraju S Kusumanchi]

Thanks. Looks like this E4 toolbox could be useful. I will check it out.

raju

Riccardo Corradini wrote:

> Hi,
> I think you may use E4 toolbox on this website
> http://www.ucm.es/info/icae/e4/
> I think you may use most of the code under gnu octave
> You should build on you own a replica of rsf2csf.m
> But for the rest works perfectly.
> Please let me know if I may assist you or give further help.
> Bests
> Riccardo Corradini
> 
> --- Mar 11/5/10, Kamaraju S Kusumanchi <address@hidden> ha
> scritto:
> 
> Da: Kamaraju S Kusumanchi <address@hidden>
> Oggetto: garch models in octave
> A: address@hidden
> Data: Martedì 11 maggio 2010, 12:21
> 
> Is there any octave code available to fit a Garch(p,q) model to some given
> data? I see that octave has arch_fit. But nothing for GARCH models
> http://en.wikipedia.org/wiki/GARCH#GARCH .
> 
> thanks for any pointers
> raju
> 

-- 
Kamaraju S Kusumanchi
http://malayamaarutham.blogspot.com/