Displaying 20 results from an estimated 10000 matches similar to: "GARCH in package tseries"
2000 Oct 20
0
Re: R-help Digest V2 #236
R-help Digest wrote:
> Date: Thu, 12 Oct 2000 20:48:59 -0700 (PDT)
> From: Elliot Williams <ewilliams at ucsd.edu>
> Subject: [R] GARCH in package tseries
>
> I was running some likelihood ratio tests (using the current version of
> tseries) and found a different value for the log-likelihood from what I
> was getting using other software. I've traced the problem to
2007 Nov 04
0
[Spam] Re: Problems with garch() function tseries package R 2.6.0
Hi,
What other information should i post?
I now have the two versions on the same machine. With R 2.3.1 and tseries 0.10-7 it works fine. With R 2.6.0 and tseries 0.10-11 the function garch doesnt work.
The test was made with the same data, in the same machine.
The maintainer did not say anything yet.
Regards,
Jos? Augusto Jr.
---------- Cabe?alho original -----------
De: "Prof Brian
2005 Jul 14
0
tseries & GARCH & pred_garch method
Hi,
I had a quick question regarding the pred_garch function (as part of the
tseries library, garch.c), and specifically: the function calculates the 'h'
vector of conditional variances, h[n+1] if the data is genuine. I am very
much a beginner, but from what I understand I would think that it is
computed from the errors vector, not 'y' (which is the input to the
function). Before
2005 Apr 11
1
TSeries GARCH Estimates accuracy
Hi,
I am trying to fit a GARCH(1,1) model to a financial timeseries using the 'garch' function in the tseries package. However the parameter estimates obtained sometimes match with those obtained using SAS or S-Plus (Finmetrics) and sometimes show a completely different result. I understand that this could be due to the way optimization of MLEs are done, however, I would appreciate any
2007 Dec 14
1
garch function in tseries package
I am wondering how to run 'garch' function of 'tseries' package in R2.6.1.
I installed R2.3.1 and R2.6.1 in my PC (Windows XP Home) and run a
following simple GARCH function in both versions:
>garch(dSP[1:300], order = c(1,1))
where 'dSP' is daily return series of a stock index.
R2.6.1 can not finish calculation and also I can not stop the
2007 Nov 04
4
Problems with garch() function tseries package R 2.6.0
Hi all,
I recently updated my to R 2.6.0 and tseries package ?tseries? version: 0.10-11.
When i was using R Version 2.3.1 (2006-06-01) with tseries 'tseries' version: 0.10-7, the code
> garch(dflnRCLC1)
***** ESTIMATION WITH ANALYTICAL GRADIENT *****
Call:
garch(x = dflnRCLC1)
Coefficient(s):
a0 a1 b1
4.985e+00 1.880e-01 6.210e-14
>
worked very
2006 Apr 26
2
garch in tseries
Hello again!
Is there a way to include a mean in the garch function in the
library(tseries), please?
I tried include.mean=T in the function statement but it didn't work
thanks in advance!
R Version 2.2.1 Windows
Sincerely,
Erin
mailto: hodgess at gator.uhd.edu
2005 Dec 25
1
Different ARCH results in R and Eviews using garch from tseries
Dear Sir,
First of all Happy Holidays!,...
I am writing to you because I am a bit confused about ARCH estimation.
Is there a way to find what garch() exactly does, without the need of
reading the source code (because I cannot understand it)?
In Eviews (the results at the end) I am getting different results than
in R (for those that have the program I do: Quick -> Estimage Equation
->
2005 Jun 03
0
RE: GARCH (1 , 1), Hill estimator of alpha, Pareto estimator]
Ukech U. Kidi wrote:
> dax<- diff(log(DAX_CAC$DAX[1:1865]))
> m1<- garch(dax)
> Error: couldn't find function "garch"
> m1<- garch(dax[1:1865])
> Error: couldn't find function "garch"
> m1<- garch(dax[1:1865])
I am sorry, but I forgot to change the addres to r-help in the reply.
Well, I am not sure, wheere do you want to get
2009 Jun 15
2
GARCH:: False Convergence
Dear R users,
I am trying to use tseries' garch function in order to determine the
volatility of a return series generated by quantmod. Here is the code that I
am using:
> library(quantmod)
> getSymbols("AAPL")
convert daily closing prices into continuous log returns
> dret<-dailyReturn(AAPL,type='log')
check to see that the autocorrelations decay
>
2005 Nov 21
2
garch function in R
I'm using R 2.1.1 and just successfully installed packages tseries, fseries.
I try to run example
http://www.maths.lth.se/help/R/.R/library/tseries/html/garch.html
But it shows
> x.arch <- garch(x, order = c(0,2)) # Fit ARCH(2)
Error: couldn't find function "garch"
Then I run command
> help.search("garch")
it shows the R information.
2007 Dec 10
1
Having trouble getting GARCH parameters (basic/newbie)
I'm having no luck getting GARCH parameter estimations. It seems simple
enough, but I don't know what I'm doing. I'm a newbie both at R and GARCH
models, so whatever is going wrong, it's probably very basic. Here's what I
do:
1. I first load the tseries package with:
library("tseries")
2. I then load the data with:
g <-
2003 Nov 27
2
would like to know how to simulated a GARCH(1,2)
Follow the example in tseries, we can simulated a GARCH(0,2),
n <- 1100
a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients
e <- rnorm(n)
x <- double(n)
x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
for(i in 3:n) # Generate ARCH(2) process
{
x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
}
x <- ts(x[101:1100])
and x is a GARCH(0,2).
But, I would like to know how
2005 Feb 01
0
GARCH, installing tserise package
Hi, there,
First of all, I am not familar with the GARCH concept as well as R interface.
I have three questions regarding GARCH (1,1).
First, I got tseries package from CRAN. Where exactly am I supposed to
install it?
In my case, I copies it to C:\Program Files\R\rw2001\library. What do
I need to do in order to actually install it?
Second, I am not sure if I've installed it properly, but
2007 Jul 26
1
Problem installing tseries package
Hi,
I'm running R 2.4.1 on Fedora Core 6 and am unable to install the tseries
package. I've resolved a few problems getting to this point, by running a
yum update, installing the gcc-gfortran dependency, but now I'm stuck.
Could someone please point me in the right direction?
========R install.packages output =======
==================================
2002 Apr 29
2
tseries package segmentation fault (PR#1497)
Full_Name: Gang Liang
Version: 1.4.1
OS: mandrake-8.2
Submission from: (NULL) (128.32.81.135)
tseries version: 0.9-1
quadprog version: 1.4-4
mva version: 1.4.1
version:
platform i686-pc-linux-gnu
arch i686
os linux-gnu
system i686, linux-gnu
status
major 1
minor 4.1
year 2002
month 01
2006 Apr 26
1
MacOSX package install problem: pkgs quadprog & tseries
I upgraded to R-2.2.1 on two PPC G5 computers today. Further I want
to work with the tseries package for the first time.
As root with
R CMD INSTALL tseries_0.10-0.tar.gz
I get the following
gcc-3.3 -bundle -flat_namespace -undefined suppress -L/usr/local/lib -
o tseries.so arma.o bdstest.o boot.o dsumsl.o garch.o ppsum.o
tsutils.o -framework vecLib -L/usr/local/lib/gcc/powerpc-apple-
2005 Mar 02
2
Problems with the "tseries" package
Dear Sirs,
I am trying to perform a garch analysis to some data time series.Therefore, I've downloaded the package "tseries", as the garch analysis is not available in the main R program.When I try to load the "tseries package" from the R-Console screen, the following message appears:
local({pkg <- select.list(sort(.packages(all.available = TRUE)))
+ if(nchar(pkg))
2004 Feb 03
2
How to build a AR(q)-GARCH(q) process ?
Hello all,
I would like how to modelized a time serie with AR-ARCH process.
It can be used arma and garch functions in tseries package for build
ar process or a garch process, but how can it be modelized a ar-garch
model ?
Thanks
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2006 Nov 20
1
how to forecast the GARCH volatility?
Dear All,
I have loaded package(tseries), but when I run
predict.garch(...) R tells me could not find function
"predict.garch", however ?predict.garch shows me
something. I am confused about this. How can I
forecast garch volatility?
I have tried:
predict(...,n.ahead=...),give me fitted value
predict(...,n),give me NA,NA