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Yes, it exists and it is called ccgarch package. You can install that by simply running in R install.packages("ccgarch") and learn more about that on the CRAN relative paper. Moreover, I suggest you to read this lecture hold by the author during an R conference. Hope this help.


Approach 1 is parametric regression, whereas approach 2 is non-parametric regression. How are they related: non-parametric regression models the entire distribution of all possible function forms, and then do the integration to calculate a single value E[Y|X]. It is function-form free. In contrast, parametric linear regression ASSUMES that the function ...


look at the econometrics literature on "total Least squares" (van huffel has a text out by that name)...or more generally think about what principal components does (hint: it's minimizing the distance to a regression line as in #2..it's not minimizing just the "vertical" distance)

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