Hi, I want to fit a mean and variance model jointly.
For example I might want to fit an AR(2)-GARCH(1,1) model i.e. r_t = constant_term1 + b*r_t-1 + c*r_t-2 + a_t where a_t = sigma_t*epsilon_t where sigma^2_t = constant_term2 + p*sigma^2_t-1 + q*a^2_t-1 i.e. R estimates a constant_term1, b, c, constant_term2, p, q TIA Aditya ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
