similar to: re garding Garch prediction mechanism

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

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

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 <-

For three of the beta distribution functions in R the parameters defining the distribution are alpha, beta and 'ncp'. Pretty trivially, there is no bijection between these three and the mean and variance, but for the special case of ncp = 0, I think there is. Rather than just write it down, it's probably a good idea to see how to get it. Note that mu = alpha/(alpha+beta) s2 =

I'm new in installing wine in Sled 11.. So plzz could any one give me hint how to start this. I'm Studying the Linux life so that i could migrate from windows to linux.

plz....read out the attachment....my prob is attached... --------------------------------- Boardwalk for $500? In 2007? Ha! Play Monopoly Here and Now (it''s updated for today''s economy) at Yahoo! Games. _______________________________________________ LARTC mailing list LARTC@mailman.ds9a.nl http://mailman.ds9a.nl/cgi-bin/mailman/listinfo/lartc

I'm not having success with the new update patch warcraft III Frozen Throne when I run it with Wine it sends a message "Fail to open output" and the 10 mb patch that fais The communication with the EUROBATTLE ... hope you help me

Hi to all i think this is not a new problem for this forum....but its newest for me as i m a new linux lerner. Even if it is new plzz....reply me ur answer..n if its already asked n have solution..plzz forward the solution. My problem is here mentioned: I have fedora core 4 as a linux server. there r two external links connected to this. the settings are as: eth0 ->for internal (that is

Hi, I Have a strange error when i type the command "rake db:migrate " Can you help to solve this error or give me some advices the error is: DEPRECATION WARNING: Rake tasks in /home/joanne/Desktop/picto/vendor/ plugins/prawnto/tasks/prawnto_tasks.rake are deprecated. Use lib/tasks instead. (called from <top (required)> at /home/joanne/Desktop/picto/ Rakefile:7) thanks for help

Dear all, I would like to know that R has the function for garch-t,gjr- garch,qgarch and egarch. Best Regards, Luck

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 =

many many thanks for ur help ok i m making my problem more clear... my LAN ip is :172.16.100.0/24 ip of eth1 is :202.51.78.122 and this is fixed and permanent address and it has no netmask and gateway(so, to provide internet to my LAN i have used the ppp0 for this connection ) ip of eth2 : 203.78.165.154; netmask:255.255.255.248; gateway:203.78.165.153 for eth0 my

Dear All, Hii, I am student working on a project called Network Radio modelled on the icecast project. Could u plz give me the design of Icecast project>>so that i can model my project accordingly viz by threads or sockets?? Plzz help me. Also could u telll me where i can get the source code for icecast in c++ or java. Thanks, Chetan Yahoo! India Matrimony: Find your life

hy all actually i want to have a setup of five offices having round about 200 extensions ( each office having 35 to 45 ) which will be connected through asterisk. now either i should go for voip phones( hard phones ). or use any interface card to asterisk server to which the analogue phones will be connected. ----- if i use analogue phones in the above case ( we have analogue phones already )

hi, I try to code garch-t(1,1),egach(1,1) and gjr(1,1) to estimate my data. How I can code these model with my data (e.g. garch code is y<-garch(x,order=c(1,1)) best regards, luck

Hi, i did in the last month a research about timeseries with the function ARIMA(). Where i had to know how to predict and forecast new datapoints in the future. Not only the things the functions predict() and forecast() can do. All was ok, as the arima function was in the major parts convergent and i did know how to predict for example in a simple ARIMA(x,0,y)-model. Now i have to do the same

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

Hello, I have the similar issue in estimating a GARCH model with exogenous variables in the mean equation. Currently, to my understanding, the garch function in tseries package can handle univariate model, and garchFit in fGarch can handle ARMA specification. I wonder if there is any R function that can handle exogenous variables in estimating GARCH? Thank you a lot. Edwin -- View this

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

Hello, Does anyone know about an R-package on multivariate ARMA-GARCH models? Or in Matlab? I would be very grateful if someone could help! Thanks a lot! [[alternative HTML version deleted]]