2
$\begingroup$

Today I was reading an article quoted here, in this article is proposed an adaptive (dynamic) Garch model. How can I do it in R? The use of extended Kalman filter or particle filter is indifferent. I usually use rugarch or rmgarch for Garch models. Can I do it with this packages or I need some others? Thanks

$\endgroup$
  • $\begingroup$ You need other packages because neither of those do models in state-space. There are a few packages in r for Kalman filter but I don't know if they allowed to model the variance as a garch process, my guess is not. Take a look at the packages dlm and KFAS $\endgroup$ – Alejandro Andrade Feb 12 '18 at 16:34

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.