Displaying 1 result from an estimated 1 matches for "garch21".
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garch1
2005 Feb 10
2
Writing output to a file in a loop
...xt", sep=";", dec=",")
m <- 2321 #upper bound of time series
niter <- 10 #length(wig20$CLOSE)- m
fcv <- 0
for (i in 1:niter){
m <- m + 1
r <- 100*diff(log(wig20$CLOSE[1:m]))
y <- r - mean(r)
fit <- garch(y, order = c(1,1))
sink("garch21.txt", append = TRUE)
summary(fit)
logLik(fit)
sink()
cv <- predict(fit, genuine=TRUE)
fcv <- c(fcv,cv[length(cv)/2,1])
postscript("garch21.ps",encoding="ISOLatin2",
title = paste("Day: ",wig20$DTYYYYMMDD[m]),
paper = "a4",
fa...