Dear Erin:
The following worked for me:
library(fSeries)
# Load Time Series:
data(sp500dge)
# Vector of Compounded Returns:
x <- diff(sp500dge[,1])
# Vector of Percentage Compounded Returns:
X = 100*x
fit = garchFit(~arma(0,1), ~garch(1,1), series = X)
Version 2.3.0 (2006-04-24)
i386-pc-mingw32
attached base packages:
[1] "methods" "stats" "graphics"
"grDevices" "utils" "datasets"
[7] "base"
other attached packages:
fSeries fCalendar fBasics
"221.10065" "221.10065" "221.10065"
>
hope this helps,
spencer graves
p.s. I extracted this from "demo/xmpDWChapter34.R" in the fSeries
package, which was mentioned under "examples" in the garchFit
documentation.
Erin Hodgess wrote:
> Dear R People:
>
> I'm trying to use the garchFit function from the library(fSeries)
>
> However, R freezes every time that I use it.
>
> Is anyone else having this problem, please?
>
> Thanks in advance!
>
> R Version 2.2.1 Windows.
>
> Sincerely,
> Erin Hodgess
> Associate Professor
> Department of Computer and Mathematical Sciences
> University of Houston - Downtown
> mailto: hodgess at gator.uhd.edu
>
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