From Adrian.Trapletti@wu-wien.ac.at  Mon Oct 25 09:51:50 1999
From: Adrian.Trapletti@wu-wien.ac.at (Adrian Trapletti)
Date: Mon, 25 Oct 1999 08:51:50 +0000
Subject: GARCH models available
Message-ID: <38141A26.A4094946@wu-wien.ac.at>

tseries_0.3-0 at CRAN now contains the following new features:

NelPlo                   Nelson-Plosser Macroeconomic Time Series
garch                    Fit GARCH Models to Time Series
get.hist.quote           Download Historical Finance Data
jarque.bera.test         Jarque-Bera Test
na.remove                NA Handling Routines for Time Series

garch contains a GARCH estimation routine together with some of the
usual methods (print, plot, summary etc.). I plan to further implement a
simulate.garch() and to extend predict.garch() for multi-step forecasts.

For those who like to play with stock market data, get.hist.quote()
allows to download yahoo-finance data directly over the www into R time
series.

Testing, suggestions, and comments are welcome!

Adrian

--
Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708,
Email: adrian.trapletti@wu-wien.ac.at



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GARCH models available
Adrian Trapletti