search for: brajkovic

...ing code to run a single simulation: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0)) sim<-garchSim(spec, length(dp)-1,extended=T) Can someone suggest a modification to the code which would allow to obtain multiple simulations? Many thanks, Jurica Brajkovic

...S-B", lower = c(0, -Inf, -Inf), upper = c(Inf, Inf, Inf)) The "result" I get is: " Error in optim(c(0, 0, 0), mle, method = "L-BFGS-B", lower = c(0, -Inf,:L-BFGS-B needs finite values of 'fn'" Can somebody spot the mistake? Many thanks, Jurica Brajkovic

...ma^2)))) ) return(-logl) } out <- optim(c(1,1,1,1,1,1),fn=mle, method = "BFGS") Unfortunately I get the error that ?Error in optim(c(1, 1, 1, 1, 1, 1), fn = mle, method = "BFGS") : initial value in 'vmmin' is not finite? Can someone help. Thanks, Jurica Brajkovic

..., variance of electricity prices might be different (higher) during weekdays as opposed to during weekend. Thus, I would like to include some dummy variables in variance equation -but I don't know how to program that in R (I use fGArch package). Could someone help, please? Many tanks, Jurica Brajkovic Economics Division University of Southampton

...5 6 9 10 11 12 13 14 15 16 17 18 19 20 21 23 24 25 26 27 28 31 32 33 34 Number of available observations: 2590 Warning message: In interpolpval(code = code, stat = adfreg[, 3], N = N) : p-value is smaller than printed p-value Can someone please explain these differences. Many thanks, Jurica Brajkovic University of Southampton

I use fGarch package to estimate AR(1)-ARCH(1) process for a vector of returns. Then, using the estimated parameters I want to simulate 10 000 sample paths where each path has the same length as the vector of returns. So the first line of the code is: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0))---- The only way I can think of generating 10 000