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GARCH(3.2)

Posted 11 years ago
I am trying to estimate an effect on return of one commodity on another using a garch(3.2) model, however I am not able to estimate an Garch model using the timeseries package provided as an add on to Mathematica. Does anyone know how to compute this using the package or if you have your own code that you are willing to share?
POSTED BY: Aleks
2 Replies
Posted 11 years ago
POSTED BY: milos cipo
Hi. Which version of Mathematica are you using? 

The documentation for the time series package can be found here: http://media.wolfram.com/documents/TimeSeriesDocumentation.pdf
Are you able to run the examples for the Garch models in there?

When asking a question on multiple sites/forumns, it's often helpful to link to them together so that someone finding this can find any answer that was posted on the other site:
http://mathematica.stackexchange.com/questions/33449/estimate-garch3-2
POSTED BY: Sean Clarke
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