Re: [Gretl-users] missing time series model in my gretl
I am really sorry for the bothering, but do u have any idea that which
statistical package contains functions that could allows a regressor
on variance process?
On Tue, Jun 24, 2008 at 7:31 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Tue, 24 Jun 2008, Yifei Pei wrote:
> I am sorry to bother you. But it is the first time i am using
> gretl, and I am in a hurry to finish a task. So i am wondering
> the way it deals with garch model. Say I want to do a Egarch or
> GJR-garch, and i also want to include a regressor in the
> vairance process. Can gretl do that?
That's work in progress, but not yet.
Allin Cottrell
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Yifei Pei
MSc of Financial Engineering
University of Michigan
1-734-272-3795
yifpei(a)umich.edu