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

  • $\begingroup$ 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

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