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MathGroup Archive 2005

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Re: q: Code for GARCH model in Mathematica

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  • Subject: [mg63076] Re: [mg62988] q: Code for GARCH model in Mathematica
  • From: Bruce Miller <brucem at>
  • Date: Tue, 13 Dec 2005 03:41:09 -0500 (EST)
  • References: <>
  • Sender: owner-wri-mathgroup at

The Time Series application pack has a GARCH model.  I did not find a
separate implementation on the WRI web site 


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

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