search for: egarch

Hi, I`m about to switch from STATA to R and have serious troubles to find proper documentations on the internet. Right now I try to find a proper documentation of the eGARCH model being part of the rugarch package. Neither here http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf nor here http://cran.r-project.org/web/packages/rugarch/rugarch.pdf could i find some information that was helping. In this post http://r.789695.n...

Hallo, I am a student specializing statistics and econometrics in germany. I know there is a way to program EGARCH-processes (time series analyses) in R. If you are ackquainted with statistics already you know that there is nothing but a theorethical use of GARCH-Package in R. Not only because the distribution is gaussian, but also because the skewdness and leptokurthosis are not quite good estimated. Matlab T...

HI, I need urgently garch and egarch models. After looking through the R mail archives I found http://www.egss.ulg.ac.be/garch/default.htm which is an Ox package. After downloading and installing it in R (Version 1.4.1 through the windows dialog "Packages") I received the following warning: install.packages("D:/benjami...

I've downloaded fSeries, but looks like it just has an interface to OX(TM) Garch Modeling Software,and that OX(TM) software package is not free. So where can I find an EGARCH function that is truely usable? Thanks a lot! [[alternative HTML version deleted]]

Hi, Could you please help me with EGARCH and GJR? Is it possible to use EGARCH and GJR in R? I have used below mentioned code for GARCH in R, but I never used EGARCH and GJR in R. Thank you in advance! daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T) DAX.kurs<-daten DAX.k...

Hi, Can we run EGARCH in R. If yes, I would be grateful if someone could tell me the R codes for running EGARCH model. Thanks. [[alternative HTML version deleted]]

Hi, I have limited experience on R and recently started using REXcel. Although I have been able to run both simple functions (like mean etc) and some complex ones (like Principal Component analysis, PCA) using RExcel, I am facing some problems while running EGARCH model. For this I have downloaded the 'betategarch' package for R to run EGARCH with student t dist. Although the package has been installed properly, whenever I run function, I get an error saying - "could not find function "tegarch.est". I'd appreciate any help on the...

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=&qu...

Hi, I would like to know if there are R packages in order to fit ARIMA models with ARCH-M and EGARCH variance specifications. I know packages tseries, stats, nlme where I found functions : arima.sim, arima, garch. But it's not enough for me. I need to study ARCH-m and EGARCH. Thank you very much for your help. Best regards, Jerome.

Dear all, I would like to know that R has the function for garch-t,gjr- garch,qgarch and egarch. Best Regards, Luck

I use R to generate data and I need to estimate the data by egarch (that doesn't have in R). So how I can call egarch from SAS in R. Regards, luck

Hi I want to implement Egarch (1,1) with t distribution model using RExcel and VBA. May I know the syntax. Following is the code that I 'm using. rinterface.RRun "spec=ugarchspec(variance.model=list(model=(eGARCH),garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model=(std))" rint...

hi, I try to code garch-t(1,1),egach(1,1) and gjr(1,1) to estimate my data. How I can code these model with my data (e.g. garch code is y<-garch(x,order=c(1,1)) best regards, luck

Dear R-helpers, I was wondering if anyone has or knows someone who might have an implementation of algorithm for estimating garcht-t, egarch and gjr models. I try to use Fseries but I don't know how to code these models. Thanks a million in advance, Sincerely, Nongluck

Hi, I have used R rmgarch package to implement EGARCH ADCC model from which I can extract conditional covariance matrix. Now I would like to introduce positive and/or negative shocks to see the asymmetric response of covariance. I have come to know that impulse response function (IRF) or volatility IRF is not compatible for any asymmetric models, ther...

Hello all, I would like to know how to call sas code in R. Since I simulate data in R and I need to use sas code (garch-t,egarch and gjr) to estimate it. I need to simulate 500 times with 2000 obs. How I can call that code in R.Also, how I can keep the parameters from the estimate. j=1:500 i=1:2000 sas code keep parameters. Best Appreciate, Luck

Hi I am using the ugarchspec function from the rgarch package to fit a mean variance model jointly. Following is the code I'm using: > spec = ugarchspec(variance.model = list(model="eGARCH", garchOrder=c(1,1)), mean.model = list(armaOrder=c(1,1))) On doing this, I get the following error: Error in ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1, : could not find function ".DistributionBounds" Any help on why this is happening? any wa...

...e R package fGarch already gives me the answer, but my customized function does not seem to produce the same result. I would like to build an R program that helps estimate the baseline ARMA(1,1)-GARCH(1,1) model. Then I would like to adapt this baseline script to fit different GARCH variants (e.g. EGARCH, NGARCH, and TGARCH). It would be much appreciated if you could provide some guidance in this case. The code below is the R script for estimating the 6 parameters of an ARMA(1,1)-GARCH(1,1) model for Intel's stock returns. At any rate, I would be glad to know your thoughts and insights. If you...

...and the log-likelyhood. I've really checked everything and can't find the estimated series sigma (volatility) and eta, such that eps = sigma * eta and eta is centered and reduced... I've tryed combinations of all s$x,s$h,s$z and nothing looks looks correct. Also, is it possible to fit EGARCH and TGARCH with R ? If anyone ever managed to make it work, i'd be grateful ;-)

...lead on how to edit already existing functions. My mean equation looks like the this: Return = alpha + C1*Variance - (C3 + C4*Variance)*pastReturn - (C5 + C6*Variance)*pastReturn + error ; (C3 and C4 if pastReturn > 0, C5 and C6 if pastReturn<0) The variance is modeled following a GARCH or eGARCH process, but this can be done using the rgarch library. Thank you so much for your consideration and help. I hope to hear from you soon Best Regards, Mariam.