Hello, I'm quite new to R but tried to learn as much as possible in the last few months. My problem is that I would like to estimate the model of Leon et al. (2005). I have shortly summarised the most important equations in the following pdf file: http://hannes.fedorapeople.org/leon2005.pdf
My main question is now how could I introduce these two additional terms into the Likelihood function of a(n) (existing) GARCH method. I looked into some GARCH packages but wasn't really sure where to start. I know that this is not really an easy task but I would be very grateful if you could help me out by giving me some hints on how to solve this problem. Thanks in advance! Johannes Lips P.S. I sent this e-mail also to the R-help mailing list but was told I should better send it to the finance-sig. https://stat.ethz.ch/pipermail/r-help/2011-February/268871.html [[alternative HTML version deleted]] _______________________________________________ [email protected] 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.
