R help - Aug 2010 - fGarch: how to use garchFit() in loop?

Dear expeRts,

How can I specify the order p,q of a GARCH(p,q) model within a loop? Here's
a minimal example showing that an "Formula and data units do not
match"-error appears:

library(fGarch)
spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
data <- garchSim(spec, n = 100)
x <- list()
for(q in 1:3){
	print(q)
	x[q] <- list(garchFit(~garch(1,q),data=data,trace=FALSE))
}

Cheers,

Marius

On Aug 15, 2010, at 4:26 PM, Marius Hofert wrote:
> Dear expeRts,
>
> How can I specify the order p,q of a GARCH(p,q) model within a loop?  
> Here's a minimal example showing that an "Formula and data units
do
> not match"-error appears:
>
> library(fGarch)
> spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
> data <- garchSim(spec, n = 100)
> x <- list()
> for(q in 1:3){
> 	print(q)
> 	x[q] <- list(garchFit(~garch(1,q),data=data,trace=FALSE))
> }
>
Have you tried building a:

  form<-formula( paste( , q, sep=""  ) ) # solution?

See:
?formula

-- 
David Winsemius, MD
West Hartford, CT

Dear David,

thanks for the quick response. Yes, I tried "formula", but this gives
the error "Multivariate data inputs require lhs for the formula."

library(fGarch)
spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
data <- garchSim(spec, n = 100)
x <- list()
for(q in 1:3){
	print(q)
	x[q] <-
list(garchFit(as.formula(paste("~garch(1,",q,")",sep="")),data=x,trace=FALSE))
}

Cheers,

Marius

On 2010-08-15, at 22:32 , David Winsemius wrote:
> 
> On Aug 15, 2010, at 4:26 PM, Marius Hofert wrote:
> 
>> Dear expeRts,
>> 
>> How can I specify the order p,q of a GARCH(p,q) model within a loop?
Here's a minimal example showing that an "Formula and data units do not
match"-error appears:
>> 
>> library(fGarch)
>> spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
>> data <- garchSim(spec, n = 100)
>> x <- list()
>> for(q in 1:3){
>> 	print(q)
>> 	x[q] <- list(garchFit(~garch(1,q),data=data,trace=FALSE))
>> }
>> 
> 
> Have you tried building a:
> 
> form<-formula( paste( , q, sep=""  ) ) # solution?
> 
> See:
> ?formula
> 
> -- 
> David Winsemius, MD
> West Hartford, CT