Displaying 20 results from an estimated 400 matches similar to: "r documentation rugarch egarch"
2012 Oct 22
1
Egarch (1,1) with Student t distribution using rugarch
Hi
I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value.
Following were the commands that I was using:
library(rugarch)
spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std")
fit=ugarchfit(data=b,spec=spec)
sigma(fit)
May I
2012 Oct 25
2
Egarch (1,1) with Student t distribution in RExcel
Hi
I want to implement Egarch (1,1) with t distribution model using RExcel and VBA.
May I know the syntax.
Following is the code that I 'm using.
rinterface.RRun "spec=ugarchspec(variance.model=list(model=(eGARCH),garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model=(std))"
rinterface.RRun "fit = ugarchfit(Data = b, spec = spec)"
2004 Aug 02
1
Estimating EGARCH processes with R
Hallo,
I am a student specializing statistics and econometrics in germany. I know there is a way to program EGARCH-processes (time series analyses) in R.
If you are ackquainted with statistics already you know that there is nothing but a theorethical use of GARCH-Package in R. Not only because the distribution is gaussian, but also because the skewdness and leptokurthosis are not quite good
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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2010 Aug 06
1
R code for EGARCH
Hi,
Can we run EGARCH in R. If yes, I would be grateful if someone could tell me
the R codes for running EGARCH model.
Thanks.
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2012 Sep 05
1
run EGARCH package on REXCEl
Hi,
I have limited experience on R and recently started using REXcel. Although I have been able to run both simple functions (like mean etc) and some complex ones (like Principal Component analysis, PCA) using RExcel, I am facing some problems while running EGARCH model. For this I have downloaded the 'betategarch' package for R to run EGARCH with student t dist. Although the package has
2006 May 24
1
Does R have EGARCH modeling function?
I've downloaded fSeries, but looks like it just has an interface to OX(TM)
Garch Modeling Software,and that OX(TM) software package is not free.
So where can I find an EGARCH function that is truely usable?
Thanks a lot!
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2009 Jul 15
1
Is it possible to use EGARCH and GJR in R?
Hi,
Could you please help me with EGARCH and GJR?
Is it possible to use EGARCH and GJR in R? I have used below mentioned
code
for GARCH in R, but I never used EGARCH and GJR in R.
Thank you in advance!
daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T)
DAX.kurs<-daten
DAX.kurs<-ts(DAX.kurs,names="DAX-Kurs")
2013 Jun 16
4
can't install rugarch and nloptr packages in R 3.01 opensuse linux
I can't install rugarch package because installation of nloptr package fails .
I use opensuse 12.3
# uname -a
Linux candide 3.7.10-1.11-desktop #1 SMP PREEMPT Thu May 16 20:27:27 UTC 2013 (adf31bb) x86_64 x86_64 x86_64 GNU/Linux
my gcc version is 4.8.1
I compiled and installed R 3.01 . then I tried to install rugarch package but it fails because it can't install depended package nloptr.
2005 Feb 22
1
Does R has the function for garch-t, gjr-garch, qgarch and egarch
Dear all,
I would like to know that R has the function for garch-t,gjr-
garch,qgarch and egarch.
Best Regards,
Luck
2011 Dec 06
1
rugarch package: is this forecast correct?
Let me start with the code:
library(quantmod)
library(rugarch)
getSymbols("SPY", from="1900-01-01")
rets=na.trim(diff(log(Cl(SPY))))
tt = tail(rets["/2004-10-29"], 1000)
spec = ugarchspec(variance.model=list(garchOrder=c(1,1)),
mean.model=list(armaOrder=c(2,5)), distribution.model="sged")
for(ii in 1:10)
{
ttFit = ugarchfit( spec=spec,
2017 Jul 29
1
rugarch package: VaRTest()
Dear all,
I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms.
Do I have to use positive values for VaR in the VaRTest() formula?
Thanks for your help.
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2012 Jul 26
1
gamma distribution in rugarch package
Hi guys,
does anyone know if there is the possibility to fit a gamma distribution
using ugarch?honestly i don't know if maybe is possible to fix some
parameters that reduce ghyp or ged in a gamma distribution..
thanks a lot
sara
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2002 Apr 15
2
Newbie problem with ox package
HI,
I need urgently garch and egarch models. After looking through the R mail
archives I found http://www.egss.ulg.ac.be/garch/default.htm which is an Ox
package. After downloading and installing it in R (Version 1.4.1 through the
windows dialog "Packages") I received the following warning:
install.packages("D:/benjamin/bartels/R/packages/garch22/garch_v22.zip",
2012 Sep 18
0
"rugarch" package
My code:
spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,
1), submodel = "Null", external.regressors = NULL, variance.targeting =
FALSE), mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm =
FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex =
FALSE), distribution.model = "norm", start.pars = list(),
2004 Jun 02
0
ARCH-M, EGARCH
Hi,
I would like to know if there are R packages in order to fit ARIMA models
with ARCH-M and EGARCH variance specifications. I know packages tseries,
stats, nlme where I found functions : arima.sim, arima, garch. But it's
not enough for me. I need to study ARCH-m and EGARCH. Thank you very much
for your help.
Best regards,
Jerome.
2005 Jun 30
1
how to call egarch of sas in R
I use R to generate data and I need to estimate the data by egarch (that
doesn't have in R). So how I can call egarch from SAS in R.
Regards,
luck
2012 Oct 07
1
(no subject)
Dear r-helper
I am pleased to send you this email. I have the R 2.11.1 and R 2.15.1
versions but they dose't have GARCH models. May you please guide me in
which version can i find GARCH models.
Best.
M.Izadi
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2011 Nov 14
0
rugarch data format?
I am sorry to ask this group but the maintainer of this package did not
leave an email address.
Has anyone used or is using the 'rugarch' package with time-series data
(ts)? I try to fit a GARCH model to my data using the following:
> gf <- ugarchfit(data=l[["MEN"]]$series, spec=spec)
and I get:
Error in .extractdata(data) :
rgarch-->error: class of
2005 Aug 18
1
code a family of garch
Dear R-helpers,
I was wondering if anyone has or knows someone who might have an
implementation
of algorithm for estimating garcht-t, egarch and gjr models. I try to
use Fseries but I don't know how to code these models.
Thanks a million in advance,
Sincerely,
Nongluck