Displaying 20 results from an estimated 2000 matches similar to: "Time Series - Function to fit ARIMA and GARCH components"
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 <-
2001 Apr 24
1
ARIMA and GARCH
Hello,
I would like to study time series with ARIMA and GARCH models.
I installed R-Plus and its libraries but when I try to execute the function
arima0, It answers that the function does not exist.
Could you help me or give me references of papers dealing with arima and garch
in R-Plus?
Thanks
Beno?t,
___________________________________
Mr. Beno?t LACHERON
Rue de l'industrie, 44,
1040
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 =
2006 May 08
3
GARCH SIMULATION
Hi All,
I,m trying to do a GARCH simulation in R 2.3.0 release
in Windows XP. I've seen garchsim function but that is
for garch (1,1) and ?garch gives an example for ARCH
simulation. Can anyone help me how can i extend the
help shown in ?garch to GARCH simulation? Please help
me in this regard.
Thanks,
Sumanta Basak.
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.
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 Jun 03
1
GARCH (1 , 1), Hill estimator of alpha, Pareto estimator
Dear R users,
Could you please help me out. I am in trouble as I am unable to model graphs
to explain the GARCH (1 , 1) model, the Hill estimator (of alpha), and the
Pareto estimator.
I just got introduce to R. I am working on a paper which must be worked from
R.
You look at the difficulty I had from the text below.
[1] "DAX" "DAX_CAC" "DAX_CAC40"
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
2012 May 02
1
calibration of Garch models to historical data
I have done the usual estimation of GARCH models, applied to my historical
dataset (commodities futures) with a maximum likelihood function and
selected the best model on the basis of information criteria such as Akaike
and Bayes.
Can somebody explain me please the calibration scheme for a GARCH model?
I was not able to find a paper, dealing with exactly this algorithm for my
case. I only
1999 Oct 25
1
GARCH models available
tseries_0.3-0 at CRAN now contains the following new features:
NelPlo Nelson-Plosser Macroeconomic Time Series
garch Fit GARCH Models to Time Series
get.hist.quote Download Historical Finance Data
jarque.bera.test Jarque-Bera Test
na.remove NA Handling Routines for Time Series
garch contains a GARCH estimation routine together
1999 Oct 25
1
GARCH models available
tseries_0.3-0 at CRAN now contains the following new features:
NelPlo Nelson-Plosser Macroeconomic Time Series
garch Fit GARCH Models to Time Series
get.hist.quote Download Historical Finance Data
jarque.bera.test Jarque-Bera Test
na.remove NA Handling Routines for Time Series
garch contains a GARCH estimation routine together
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
2006 Jun 20
1
GARCH
Dear all R-users,
I have a GARCH related query. Suppose I fit a GARCH(1,1) model on a
dataframe dat
>garch1 = garch(dat)
>summary(garch1)
Call:
garch(x = dat)
Model:
GARCH(1,1)
Residuals:
Min 1Q Median 3Q Max
-4.7278 -0.3240 0.0000 0.3107 12.3981
Coefficient(s):
Estimate Std. Error t value Pr(>|t|)
a0 1.212e-04 2.053e-06 59.05 <2e-16 ***
a1
2006 Jun 20
1
GARCH
Dear all R-users,
I have a GARCH related query. Suppose I fit a GARCH(1,1) model on a
dataframe dat
>garch1 = garch(dat)
>summary(garch1)
Call:
garch(x = dat)
Model:
GARCH(1,1)
Residuals:
Min 1Q Median 3Q Max
-4.7278 -0.3240 0.0000 0.3107 12.3981
Coefficient(s):
Estimate Std. Error t value Pr(>|t|)
a0 1.212e-04 2.053e-06 59.05 <2e-16 ***
a1
2011 Jun 07
2
About DCC-garch model...
Hi, everyone,
I currently run into a problem about DCC-Garch model. I use the package
cc-garch and the function dcc.estimation. One of the output of this function
is DCC matrix, which shows conditional correlation matrix at every time
period you gives. However, I cannot figue out how the function calculate the
conditional correlation matrix at the first time period, since there is no
data to be
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
[[alternative HTML version deleted]]
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
2006 Nov 07
1
Comparison between GARCH and ARMA
Dear all R user,
Please forgive me if my problem is too simple.
Actually my problem is basically Statistical rather
directly R related. Suppose I have return series ret
with mean zero. And I want to fit a Garch(1,1)
on this.
my is r[t] = h[i]*z[t]
h[t] = w + alpha*r[t-1]^2 + beta*h[t-1]
I want to estimate the three parameters here;
the R syntax is as follows:
#
2003 Mar 13
1
GARCH estimation
Anyone know if there's an R package somewhere that supports estimation
of a linear regression model with GARCH error process?
There's a garch command in the tseries package, but unless I'm missing
something it is restricted to the univariate case, i.e. you can fit a
GARCH model to a single time-series but not estimate a model with
GARCH errors.
--
Allin Cottrell
Department of
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