[R] ARIMA & GARCH
krcabrer at epm.net.co
Thu May 23 14:15:54 CEST 2002
> Does anybody know a way of fitting an AR(p) model without the first
> p-1 parameters?
> The same doubt for MA(q)...
> And I would like to do it not only for the ARIMA bult-in function for
> R / S-Plus, but for the GARCH module (S-Plus) when modelling the mean
> Finally, is there any package for R that fit GARCH models?
Check "tseries" in the "arma" functions with the "lag" option you can
estimate some p parameters of a AR model.
And check also the garch function
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch
More information about the R-help