[R] ARCH model

Alberto Monteiro albmont at centroin.com.br
Tue May 13 19:25:17 CEST 2008


I have an ARCH model like this:

Delta y = y_{t+1} - t_t = 
  k (theta - y_t) Delta t + v_t N(0,1) sqrt(Delta t)

where

v_t^2 = a_0 + a_1 (y_{t-1} - E[y_{t-1}])^2

Is there any R function that, given a series y_i, determines
k, theta, a_0 and a_1 by maximum likelihood?

I tried to use garch from tseries, but didn't understant how
the output from its summary relate to the above quantities.

Alberto Monteiro



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