Ukech U. Kidi

2005-Jun-03 04:25 UTC

### [R] 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" "Nikkei" "NSCP" "T" [7] "Time" "x" "X" "Y1" "Y2" "Y3" [13] "Y4">save.image("R:/My documents/.RData")>library(stats)>data(DAX_CAC)Warning message: Data set ''DAX_CAC'' not found in: data(DAX_CAC)>data("DAX_CAC")Warning message: Data set ''DAX_CAC'' not found in: data("DAX_CAC")>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])Thank you in advance, Ukech U. kidi

Ukech U. Kidi

2005-Jun-03 13:37 UTC

### [R] RE: GARCH (1 , 1), Hill estimator of alpha, Pareto estimator

Dear R users, Could you please help me out. I am unable to formulate a model in R to graphs a GARCH (1 , 1) model, the Hill estimator (of alpha), and the Pareto estimator. I have a financial time series data from the DAX and CAC40. I just got introduce to R. I am working on a paper which must be worked from R. I successfully imported the data into R. I also succeeded to produce te qq-plots and histograms from the data. My difficulty at the moment lies where I could not go further to plot the GARCH plots, the Hill estimator of alpha and the Pareto estimator. Reading from the FAQs of this list, I attempted the following and wasn''t succeesful. Could anyone show me the steps that I might have omited. Check my errors from the following. library(stats) data(DAX_CAC) Warning message: Data set ''DAX_CAC'' not found in: data(DAX_CAC) data("DAX_CAC") Warning message: Data set ''DAX_CAC'' not found in: data("DAX_CAC") 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]) Thank you in advance, Ukech U. kidi

Spencer Graves

2005-Jun-03 16:43 UTC

### [R] RE: GARCH (1 , 1), Hill estimator of alpha, Pareto estimator

First, I doubt if you need "library(stats)", because it is normally automatically attached when R starts. To confirm, request "search()". When I just did this with R 2.1.0 patched, "package:stats" was the third item. Second, if you''ve already produced qq-plots and histograms, then I doubt if you need the "data(DAX_CAC)". If you have not exited R since you successfully imported the data, and you stored it as "DAX_CAC", it should still be available. Third, the message ''Error: couldn''t find function "garch"'' indicates that no function by that name is in the current "search()" path. The command ''RSiteSearch("garch")'' revealed that it was part of package "tseries". To be able to access that, you need to ''install.packages("tseries")'', ''update.packages()'', and then ''library(tseries)''. This should get you past the error messages I see. spencer graves Ukech U. Kidi wrote:> Dear R users, > > Could you please help me out. I am unable to formulate a model in R to > graphs a GARCH (1 , 1) model, the Hill estimator (of alpha), and the > Pareto estimator. > > I have a financial time series data from the DAX and CAC40. I just got > introduce to R. I am working on a paper which must be worked from R. > > I successfully imported the data into R. I also succeeded to produce te > qq-plots and histograms from the data. > > My difficulty at the moment lies where I could not go further to plot > the GARCH plots, the Hill estimator of alpha and the Pareto estimator. > > Reading from the FAQs of this list, I attempted the following and wasn''t > succeesful. Could anyone show me the steps that I might have omited. > > Check my errors from the following. > > library(stats) > > data(DAX_CAC) > > Warning message: > > Data set ''DAX_CAC'' not found in: data(DAX_CAC) > > data("DAX_CAC") > > > Warning message: > > Data set ''DAX_CAC'' not found in: data("DAX_CAC") > > 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]) > > > > Thank you in advance, > > Ukech U. kidi > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html