Displaying 20 results from an estimated 1100 matches similar to: "alpha_1 + beta_1 >1 in GARCH(1,1)"
2013 Feb 17
0
forecast ARMA(1,1)/GARCH(1,1) using fGarch library
Hi, i am working in the forecast of the daily price crude .
The last prices of this data are the following:
100.60 101.47 100.20 100.06 98.68 101.28 101.05 102.13 101.70 98.27
101.00 100.50 100.03 102.23 102.68 103.32 102.67 102.23 102.14 101.25
101.11 99.90 98.53 96.76 96.12 96.54 96.30 95.92 95.92 93.45
93.71 96.42 93.99 93.76 95.24 95.63 95.95 95.83 95.65
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =
2013 Apr 08
0
Maximum likelihood estimation of ARMA(1,1)-GARCH(1,1)
Hello
Following some standard textbooks on ARMA(1,1)-GARCH(1,1) (e.g. Ruey
Tsay's Analysis of Financial Time Series), I try to write an R program
to estimate the key parameters of an ARMA(1,1)-GARCH(1,1) model for
Intel's stock returns. For some random reason, I cannot decipher what
is wrong with my R program. The R package fGarch already gives me the
answer, but my customized function
2008 Apr 01
1
garch prediction
Hello
I want to predict the future values of time series with Garch
When I specified my model like this:
library(fGarch)
ret <- diff(log(x))*100
fit = garchFit(~arma(1,0,0)+garch(1, 1), data =ret)
predict(fit, n.ahead = 10)
meanForecast meanError standardDeviation
1 0.01371299 0.03086350 0.03305819
2 0.01211893 0.03094519 0.03350248
2008 Aug 18
1
another GARCH problem
Hallo,
i want to fit a GARCH model with a extern regressor (without arma
components), so i found the following function in package fGarch. I tryed
out a lot of things but usually I get this Error.
> garchFit(formula=y~x, formula.var=~garch(1,1),data=w)
Error in .garchFit(formula.mean, formula.var, series = x, init.rec, delta,
:
Algorithm only supported for mci Recursion
I think i use the
2009 Feb 16
0
odd GARCH(1,1) results
Hi everybody,
I'm trying to fit a Garch(1,1) process to the DAX returns. My data
consists of about 2300 10day-logreturns in chronologically descending
order (see attachment). But if I use the garch function I get a very
high alpha_1 and a quite low beta, which doesn't make that much sense. I
think I am missing something, but have no idea what it might be. I'd
appreciate it a lot
2009 Feb 14
0
How to fit GARCH(1,1) with targeted unconditional variance?
Hello,
I have a univariate data set, and the unconditional variance is 1. I would
like to fit a GARCH(1,1) model to the data set with a constraint: \omega
(the constant parameter in GARCH(1,1)) is equal to 1-\alpha-\beta. So the
unconditional variance can be controled to be \omega /(1-\alpha-\beta) = 1.
I was using garchFit (fGARCH package) but did not find the way to control.
Any help?
2009 Apr 29
1
arma model with garch errors
Dear R experts,
I am trying to estimate an ARMA 2,2 model with garch errors.
I used the following code on R 2.9.
#library
library(fGarch)
#data
data1<-ts(read.table("C:/Users/falcon/Desktop/Time
Series/exports/goods1.csv"), start=c(1992,1), frequency=12)
head(data1)
#garch
garchFit(formula.mean= ~arma(2,2),formula.var=~garch(1,1), data=data1)
but get this error:
>
2009 Jun 19
1
using garchFit() to fit ARMA+GARCH model with exogeneous variables
Hello -
Here's what I'm trying to do. I want to fit a time series y with
ARMA(1,1) + GARCH(1,1), there are also an exogeneous variable x which I
wish to include, so the whole equation looks like:
y_t - \phi y_{t-1} = \sigma_t \epsilon_t + \theta \sigma_{t-1}
\epsilon_{t-1} + c x_t where \epsilon_t are i.i.d. random
variables
\sigma_t^2 = omega + \alpha \sigma_{t-1}^2 + \beta
2009 Nov 06
1
GARCH Models in R
Dear all,
I'm using garchFit from fSeries package and I am not getting the desired
results (error message : could not find function "garchFit" ).
Would you please advise as to how I can build an ARIMA(p, d, q) -
GARCH(p,q) model using R
see the attached data and R-output.
Thanking you in advance
Kind regards
Mangalani Peter Makananisa
Statistical Analyst
South
2011 Oct 17
5
Install the rugarch-package
Hi,
i am unable to install the rugarch package.
More than that i do not even find this package in my list of possible
packages.
Its possible than the name has changed, or the package is not longer
availiable?
Is there a similar package avaliable for garch modelling except the fGarch
what i am using now?
many Thanks
Roland
--
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2011 May 15
4
DCC-GARCH model
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And the aim is to estimate
coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument = "^gspc",start = "2005-01-07",end =
2012 Mar 11
0
specify GARCH model, using garchFit()
Hello,
I’ve fitted a Garch(2,1) model with function 'garchFit()' from the package
'fGarch':
> m1 <- garchFit(formula = ~garch(2,1),data = X,trace = F)
* See 'summary(m1)' OUTPUT BELOW *
PROBLEM: My alpha1 term is not significant and I would like to make a NEW
model, say m2, that does not contain alpha1, but I am not sure how to
specify this with the garchFit()
2010 Jan 21
1
GARCH AIC
Hi,
Is there anyway to extract the AIC and BIC from the summary statistics
in fGarch package?
g <- garchfit(data)
summary(g) will display the AIC and BIC, but I can't find a way to
store those in a variable (in order to loop through different
parameters, investigating their effect).
Thank you,
David Rubins
2011 Feb 15
1
Estimation of an GARCH model with conditional skewness and kurtosis
Hello,
I'm quite new to R but tried to learn as much as possible in the last
few months.
My problem is that I would like to estimate the model of Leon et al. (2005).
I have shortly summarised the most important equations in the following
pdf file:
http://hannes.fedorapeople.org/leon2005.pdf
My main question is now how could I introduce these two additional terms
into the Likelihood
2008 May 23
1
GARCH-like
I need to change the code of Garch to the FCGARCH (a non-linear
multi-regime GARCH).
I don't know nothing about R.
I'd like to know how can I get the code of the garch in order to change it
and make the fit for the FC-GARCH.
Any non-linear code will be helpfull because if doesn't help in the
programming it helps in getting familiar with R.
Thank you
Renato
--
PhD Student Renato
2010 Mar 17
1
Reg GARCH+ARIMA
Hi,
Although my doubt is pretty,as i m not from stats background i am not sure
how to proceed on this.
Currently i am doing a forecasting.I used ARIMA to forecast and time series
was volatile i used garchFit for residuals.
How to use the output of Garch to correct the forecasted values from ARIMA.
Here is my code:
###delta is the data
fit<-arima(delta,order=c(2,,0,1))
fit.res <-
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =
2011 Jul 13
1
AR-GARCH with additional variable - estimation problem
Dear list members,
I am trying to estimate parameters of the AR(1)-GARCH(1,1) model. I have one
additional dummy variable for the AR(1) part.
First I wanted to do it using garchFit function (everything would be then
estimated in one step) however in the fGarch library I didn't find a way to
include an additional variable.
That would be the formula but, as said, I think it is impossible to add
2007 Jul 19
0
fSeries GARCH(1,1)
Hello all, I am trying to use the "garchFit" function in the fSeries Package
to fit a Garch(1,1) Model with t distribution. I am using the following
codes.
fit <- garchFit(~garch(1,1),data,cond.dist="dstd")
fitted(fit)
I was expecting the fitted(fit) would return the fitted volatility, but the
result turns out to be a series of repeated same value. I tried to change
the