# To load the data into S-PLUS
# File/Import Data/From File
# Click [Browse] and select the file dcc_rets.csv
# Name the Data set dcc.rets
# Click Options tab, and uncheck box next to Strings as factors
# Click Okay to load the data into the data.frame dcc.rets
module("finmetrics")
garch.mod=garch(dcc.rets$sp100~1, ~garch(1,1))
garch.mod
Call:
garch(formula.mean = dcc.rets$sp100 ~ 1, formula.var = ~ garch(1, 1))
Mean Equation: structure(.Data = dcc.rets$sp100 ~ 1
, class = "formula"
)
Conditional Variance Equation: structure(.Data = ~ garch(1, 1)
, class = "formula"
)
Coefficients:
C 0.02765
A 0.00975
ARCH(1) 0.07784
GARCH(1) 0.91661
dcc_rets.csv
dcc_rets.rar
(28.96 KB)
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