I see and agree. Hopefully and appreciatively if you would also consider GARCH-in-mean in default GARCH functionality in future versions.

Yi-Nung Yang
Chung Yuan Christian University, Taiwan

2007/10/18, Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it>:

However, we're very close to releasing 1.6.6 and I don't think it would be
wise to embark in such a project right now, also considering that
substantial enhancements to the garch code are planned for the future
anyway. Of course, this is open source, so if you feel like writing some C
code yourself, feel free to ask for help.

In the meantime, if you absolutely need this, you can always use the mle
command (suboptimal but reliable).

Riccardo (Jack) Lucchetti
Dipartimento di Economia
UniversitÓ Politecnica delle Marche

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