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Re: q: Code for GARCH model in Mathematica


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


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