similar to: ARCH(1,0) with t-residuals

Hi, I am trying to write the Realized GARCH model with order (1,1) The model can be describe bellow: r_t = sqrt( h_t) * z_t logh_t = w + b*logh_(t-1) + r*logx_(t-1) logx_t = c + q*logh_t + t1*z_t +t2*(z_t ^2 -1) + u_t and z follow N(0,1) , u follow N(0, sigma.u^2) But I'm troubled with the simulation check for my code. After I simulate data from the model and estimate the data, I

Hello everyone, I'm trying to estimate the parameters of the returns series attached using the GARCH code below, but I get the following error message: Error in solve.default(Hessian) : system is computationally singular: reciprocal condition number = 0 Error in diag(solve(Hessian)) : error in evaluating the argument 'x' in selecting a method for function 'diag' Can

Hello R-list-members, I'm trying to model ARMA(0,2) & GARCH(1,1) process using the code below, but according to my textbook, the estimated parameters are wrong. The MA-parameters should be negative. (I've got the same problem using garchFit()). Can anyone tell me what I'm doing wrong? And how can I calculate the hessian matrix? Many thanks, Desislava Kavrakova Code:

I am using nlm to maximize a likelihood function. When I call the likelihood function (garchLLH) via nlm however, nlm returns the wrong value of the function. When I test the likelihood function manually I get the correct answer. I'm probably doing something really stupid, maybe someone can point it out for me. ###############this is the function i am trying to minimize ############

Dear All, I am running a simulation to obtain coverage probability of Wald type confidence intervals for my parameter d in a function of two parameters (mu,d). I am optimizing it using "optim" method "L-BFGS-B" to obtain MLE. As, I want to invert the Hessian matrix to get Standard errors of the two parameter estimates. However, my Hessian matrix at times becomes

Hello, I was using garchFit {fGarch} to fit some GARCH processes. I noticed that the result contains "Log Likelihood" value (right above "Description"), but when I use .. at fit$llh to retrieve Log Likelihood value, the sign switched. I am confused about which value I should choose to report... Any help here? Thanks a lot! Ted -- View this message in context:

OK, I wanted to understand function inlining in LLVM but had avoided going to the effort of finding out if the inlining was really happening. The advice I got to "use the assembly source, Luke" suggested I go ahead and investigate inlining for a bit of practice, since (so I figured) even a monkey with really weak x86-fu could tell whether a function call was happening or not. If this

One other thing that may or may not illuminate the situation. When I run under gdb (on OS X 10.8.3 this is an ancient version of gdb 6.3.5 - but it works with clang compiled C++ code) I get the following error when I try to list a line in dwarf1.lsp: Dwarf Error: Cannot handle DW_FORM_<unknown> in DWARF reader [in module /Users/meister/Development/cando/src/tests/core/dwarf1.bundle] (gdb)

google yields nothing except for indicating that it is a boot loader problem. my dom0 partition is on a 9 GB SCSI disk drive. I have a raid1 device (md0) which I have created a series of partitions via lvm2. on boot, xm create /etc/xen/xm-single -c I get what looks like a normal boot until TCP: Hash tables configured (established 4096 bind 8192) NET: Registered protocol family 1 NET:

Package: xen-utils-4.1 Version: 4.1.4-3+deb7u4 Severity: serious Tags: patch dom0 running wheezy domU upgraded from wheezy to jessie. The domU doesn't boot any more, errors: Error code: Using <class 'grub.GrubConf.Grub2ConfigFile'> to parse /grub/grub.cfg Error parameters: Traceback (most recent call last):, File "/usr/lib/xcp/lib/pygrub.xcp", line 853, in

Hello everybody, I have a little network at home with one Win98, one Win XP/2000 ?and two Linux boxes. The Linux boxes are running on SuSE 7.3 and on one of them i have the latest samba 2.2.2 installed. I use security=share on this machine. The connection from the win98 machine works fine, I can read, write and delete files on the share-volumes. When I try the same from the Windows XP or Win 2000

Hi, I was usuing the fExtemes package, and wanted to obtain some of the values returned from the function gumbelFit(). For example, in the following code, I would like to access 'mu' and 'beta' from the object 'para'. How should I go about doing this? Is there any generic method to access the object? ----------------------------------- >library("fExtremes")

Thanks everyone, a set of wrapper routines it will be then. Dustin, are the routines you wrote open source or do you know if there is already a project that provides such a portable interface to libc for LLVM? If not, I'll write my own routines, but if there is a way to adopt a common standard or avoid reinventing the wheel I'm all for it. Mike

On 02/12/2010 09:51 AM, Chris Lattner wrote: > I think that the point is that you can define your own standard runtime interfaces: > > void *myopen(const char*path) { > return fopen(path, ...); > } Maybe my experience hand-coding LLVM will actually be of some help. What I did for this case is what I think Chris is suggesting--I have a .c file with functions that return

Hi, finally got HL to run at 1024 in opengl. But there are some things which i'm not happy about: 1) Sound lags about 1 sec after the game, EAX doesn't work. 2) Some fonts don't get found (which messes up the scoreboard). I'm running Mandrake7.2 with kernel 2.4.2 and XFree 4.0.1 and nvidia's 0.9.6 drivers. Some things i've found out so far: Using the nvidia agp driver

I upgraded my versions of llvm, clang and compiler-rt to the top-of-tree versions from last night (r180162, April 24). I recompiled debug versions of llvm, clang and my code. I then regenerated my test case and the results were the same - I can list lines of dwarf1.lsp in lldb but I can't set break-points or do anything else (what else should I be able to do?). The updated file that