Renato,
As you may know the two routines for fitting GARCH models are garchFit
[fGarch] and garch [tseries]. The RMetrics [who are behind the fGarch
library] team have usefully provided a white paper on Garch modeling
available from their website, which includes a simple example of how to fit
a G
I need to change the code of Garch to the FCGARCH (a non-linear
multi-regime GARCH).
I don't know nothing about R.
I'd like to know how can I get the code of the garch in order to change it
and make the fit for the FC-GARCH.
Any non-linear code will be helpfull because if doesn't help in the
progr
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