Re: q: Code for GARCH model in Mathematica
- To: mathgroup at smc.vnet.net
- Subject: [mg63076] Re: [mg62988] q: Code for GARCH model in Mathematica
- From: Bruce Miller <brucem at wolfram.com>
- Date: Tue, 13 Dec 2005 03:41:09 -0500 (EST)
- References: <200512101102.GAA29329@smc.vnet.net>
- Sender: owner-wri-mathgroup at wolfram.com
The Time Series application pack has a GARCH model. I did not find a separate implementation on the WRI web site (http://library.wolfram.com/). See http://www.wolfram.com/products/applications/timeseries/ http://documents.wolfram.com/applications/timeseries/index12.html Bruce Miller Wolfram Research On Dec 10, 2005, at 5:02 AM, Mark Coleman wrote: > Hi, > > Has anyone implemented code for a GARCH model (a statistical model > commonly used in financial econometrics) in Mathematica v5? > > Thanks, > > -Mark
- References:
- q: Code for GARCH model in Mathematica
- From: Mark Coleman <mark@markscoleman.com>
- q: Code for GARCH model in Mathematica