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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>