Re: [R] Is it possible to use EGARCH and GJR in R?

2009-07-15 Thread Liviu Andronic 
Hello,

On 7/15/09, Andriy Fetsun  wrote:
>   Could you please help me with EGARCH and GJR?
>
Do you mean JGR [1]? If so, install it and try running your code in
it. Unless you bump into very specific issues, it should work.
Liviu

[1] http://cran.r-project.org/web/packages/JGR/index.html

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[R] Is it possible to use EGARCH and GJR in R?

2009-07-15 Thread Andriy Fetsun 
Hi,

  Could you please help me with EGARCH and GJR?
   Is it possible to use EGARCH and GJR in R? I have used below mentioned
code
   for GARCH in R, but I never used EGARCH and GJR in R.
   Thank you in advance!
   daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T)
   DAX.kurs<-daten
   DAX.kurs<-ts(DAX.kurs,names="DAX-Kurs")
   DAX.rendite<-diff(DAX.kurs)/DAX.kurs[1:length(DAX.kurs)-1]
   g<-garchFit(data=DAX.rendite,formula=~garch(1,1),const.dist="dstd")
   g.predict<-predict(g,n.ahead=1)
   Best regards,
   Andy

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