Hi
I want to implement Egarch (1,1) with t distribution model using RExcel and VBA.
May I know the syntax.
Following is the code that I 'm using.
rinterface.RRun
"spec=ugarchspec(variance.model=list(model=(eGARCH),garchOrder=c(1,1)),
mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model=(std))"
rinterface.RRun "fit = ugarchfit(Data = b, spec = spec)"
rinterface.RRun "output=sigma(fit)"
Please let me know the error and it's solution.
Thanks
Dheeraj
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