Dheeraj Pandey
2012-Oct-22 08:56 UTC
[R] Egarch (1,1) with Student t distribution using rugarch
Hi I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value. Following were the commands that I was using: library(rugarch) spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std") fit=ugarchfit(data=b,spec=spec) sigma(fit) May I know the error that I'm making in implementing the model? Any help with the syntax/commands or any useful content will be appreciated? Dheeraj [[alternative HTML version deleted]]
Patrick Burns
2012-Oct-22 19:46 UTC
[R] Egarch (1,1) with Student t distribution using rugarch
Dheeraj, You need to give us some more hints of what you get and what you don't get. My guess is that what has happened is that the optimization algorithm didn't converge. The R-sig-finance mailing list would be a more appropriate place for this discussion (you have to subscribe before you can post there). Pat On 22/10/2012 09:56, Dheeraj Pandey wrote:> Hi > I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value. > Following were the commands that I was using: > > library(rugarch) > spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std") > fit=ugarchfit(data=b,spec=spec) > sigma(fit) > > May I know the error that I'm making in implementing the model? > Any help with the syntax/commands or any useful content will be appreciated? > > Dheeraj > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >-- Patrick Burns pburns at pburns.seanet.com twitter: @portfolioprobe http://www.portfolioprobe.com/blog http://www.burns-stat.com (home of 'Some hints for the R beginner' and 'The R Inferno')