Displaying 3 results from an estimated 3 matches for "dem2gbp".
2005 Dec 04
1
fSeries: garchOxFit - is really the example provided not runnig?
...s package and I wanted to run the example provided in the documentation of garchOxFit but I got the following:
> library(fSeries)
> ?garchOxFit
> library(datasets)
> ?garchOxFit
> ## Not run:
> ## garchOxFit -
> # Load Benchmark Data Set:
> data(dem2gbp)
> x = dem2gbp[, 1]
> # Fit GARCH(1,1):
> garchOxFit(formula.mean = ~arma(0,0), formula.var = ~garch(1,1))
Error in system(command, show.output.on.console = trace, invisible = TRUE) :
unused argument(s) (show.output.on.console ...)
> ## End(Not run)...
2011 Feb 15
1
Estimation of an GARCH model with conditional skewness and kurtosis
Hello,
I'm quite new to R but tried to learn as much as possible in the last
few months.
My problem is that I would like to estimate the model of Leon et al. (2005).
I have shortly summarised the most important equations in the following
pdf file:
http://hannes.fedorapeople.org/leon2005.pdf
My main question is now how could I introduce these two additional terms
into the Likelihood
2007 Jun 16
1
fSeries - Ox - ver: 240.10068 - Steps to make it work
...zip (G@RCH package for Ox)
4. Download: http://www.doornik.com/download/b736gw/oxcons.html (Ox console)
5. Install Ox console to directory "c:\ox"
6. Copy: R-2.5.0\library\fSeries\ox\GarchOxModelling.ox c:\ox\ox\lib\GarchOxModelling.ox
7. Load R-Project
8. Run:
library(fSeries)
data(dem2gbp)
x = dem2gbp[, 1]
garchOxFit(~garch(1,1),x)
------------------
Causes the errors:
Error in paste(OXPATH, "\\bin\\oxl.exe ", OXPATH, "\\lib\\GarchOxModelling.ox", :
object "OXPATH" not found
------------------
This can be fixed by setting the directory in R-P...