[R] CAPM-GARCH - Regression analysis with heteroskedasticity

barb mainzel89 at hotmail.com
Fri Nov 25 02:14:54 CET 2011

Okay, it seems to work with Mahalanobis:
b = (X′S^−1X)−1X′S^−1Y minimizes the Mahalanobis-distance of Xb to Y .
And S is the covariance-matrix. 

cov = a0+a1x_{n-1}*y_{n-1}+ß*cov{n-1}
But shouldn´t it be the covariance of the residuals?

Anyone experiences with that?

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