[R] Fitting jump diffusion models

Ross Bowden handel at iinet.net.au
Mon Jun 2 06:15:07 CEST 2008

Hello everyone. I have an interest in fitting jump diffusion AR(p) 
processes (which will likely form part of a Garch model). Does anyone 
know of some R code that will allow this please, hopefully using max 
likelihood (or similar) methods?

I'm currently using WinBUGS and RWinBUGS to utilise a Bayesian approach 
but my dataset is quite large (n=17,000 being half-hourly electricity 
prices for a year) and, not surprisingly, the routines have issues with 
execution time and program stability.

Many thanks,
Ross Bowden,
Synergy Energy,
Perth, Western Australia.

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