Displaying 20 results from an estimated 74 matches for "garchfits".
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garchfit
2006 Nov 22
2
problems with garchFit
Hi all,
I post it on both r-help and r-finance since I don't know where is most
appropriate for this topic. Sorry if it bothers you.
I did garch fitting on S&P500 monthly returns with garchFit from fSeries. I
got same coefficients from all cond.dist except normal. I thought that is
probabaly usual for the data. But when I play with it, I got another
question.
I plot skew normal with
2006 Nov 22
0
questions about garchFit
Hi all,
I was trying garchFIt() of fSeries to fit volatility of monthly log returns
of S&P500. I tried residuals of normal, student t, skew normal, skew t. But
all innovations except normal got exaxtly same coefficients, even if I
changed their parameters of skew and shape.
Is this correct for the data or something wrong? I am attaching the code,
thank you.
Muster
#GARCH analysis of
2011 Nov 06
0
fGarch: garchFit and include.shape/shape parameters
Hello,
The function garchFit in the package fGarch allows for choosing a
conditional distribution, one of which is the t-distribution. The function
allows specification of the shape parameter of the distribution (equal to
the degrees of freedom for the t-distribution), for which the default is set
to 4. The function also includes an option "include.shape", which is "a
logical flag
2007 Jan 06
1
garchFit in R
Dear all,
I have problem here :
I'm using garchFit from fSeries package, here is part of the script :
> data <- read.table("d:/data.txt")
> a <- garchFit(~garch(1,1),ts(data))
I also attached the file here. In my experience, I got my R not responding.
I also tried with
> a <- garchFit(~garch(1,1),ts(data*10))
and it's worked.
I
2006 Apr 26
1
garchFit from fSeries
Dear R People:
I'm trying to use the garchFit function from the library(fSeries)
However, R freezes every time that I use it.
Is anyone else having this problem, please?
Thanks in advance!
R Version 2.2.1 Windows.
Sincerely,
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgess at gator.uhd.edu
2010 Aug 15
2
fGarch: how to use garchFit() in loop?
Dear expeRts,
How can I specify the order p,q of a GARCH(p,q) model within a loop? Here's a minimal example showing that an "Formula and data units do not match"-error appears:
library(fGarch)
spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
data <- garchSim(spec, n = 100)
x <- list()
for(q in 1:3){
print(q)
x[q] <-
2012 Mar 11
0
specify GARCH model, using garchFit()
Hello,
I’ve fitted a Garch(2,1) model with function 'garchFit()' from the package
'fGarch':
> m1 <- garchFit(formula = ~garch(2,1),data = X,trace = F)
* See 'summary(m1)' OUTPUT BELOW *
PROBLEM: My alpha1 term is not significant and I would like to make a NEW
model, say m2, that does not contain alpha1, but I am not sure how to
specify this with the garchFit()
2006 Apr 26
2
garch in tseries
Hello again!
Is there a way to include a mean in the garch function in the
library(tseries), please?
I tried include.mean=T in the function statement but it didn't work
thanks in advance!
R Version 2.2.1 Windows
Sincerely,
Erin
mailto: hodgess at gator.uhd.edu
2006 Jul 06
1
Problem with garchFit function in fSeries
I used garchFit function to fit 1600 observations of EURO/USD 2-day returns
in GARCH(1,1) model.
As part of the summary I got warning message:
NaNs produced in: sqrt(diag(fit$cvar))
And didn't get any estimates for 3 params' std.error, t value or
probability:
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -0.004827 0.020141 -0.240 0.811
ar1 0.010311
2011 May 04
1
fGarch
Hi,
I am attempting to fit a ARMA/GARCH regression model without success.
### ARIMA-GARCH model with regressor ###
### Time series data: A multivariate data set.
cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])]
cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1))
### The following R scripts work:
(summary(no.day.fitr <- garchFit(dq ~ arma(0,3) +
2008 Dec 30
1
A mistake in garchFit()? {fGarch}
Hello,
I was using garchFit {fGarch} to fit some GARCH processes.
I noticed that the result contains "Log Likelihood" value (right above
"Description"), but when I use .. at fit$llh to retrieve Log Likelihood value,
the sign switched.
I am confused about which value I should choose to report...
Any help here?
Thanks a lot!
Ted
--
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2010 Jul 14
0
fGarch: garchFit() with fixed coefficents
hello everybody,
I would like to fit a model to a times series (testing set) for out of
sample predictions using garchFit(). I would like to keep the coefficients
of ARMA/GARCH model fixed (as found by fitting the model to my training
set). The arima fitting function has such an option for that (fixed=NULL)
but the garchFit() doesnt.
It is very important for me to keep the same coefficients
2007 Dec 12
1
APARCH
Hi,
Could somebody say if it is possible to compute APARCH-models with garchFit
commands.
I have earlier used aaa (garchOxFit) and now I try to use bbb (look below)
aaa <-
garchOxFit(formula.mean=~arma(1,0),formula.var=~aparch(1,1),series=nyk,cond.dist=c('gaussian'))
bbb <- garchFit(formula=~arma(1,0)+aparch(1,1),data=nyk)
aaa works well, but I need other characteristics of
2009 Jun 19
1
using garchFit() to fit ARMA+GARCH model with exogeneous variables
Hello -
Here's what I'm trying to do. I want to fit a time series y with
ARMA(1,1) + GARCH(1,1), there are also an exogeneous variable x which I
wish to include, so the whole equation looks like:
y_t - \phi y_{t-1} = \sigma_t \epsilon_t + \theta \sigma_{t-1}
\epsilon_{t-1} + c x_t where \epsilon_t are i.i.d. random
variables
\sigma_t^2 = omega + \alpha \sigma_{t-1}^2 + \beta
2008 Jul 09
0
garchFit problem
Hi,
I have a problem using garchFit, when I use :
x<-model$resid
fit = garchFit(~garch(1, 1), data = x, cond.dist="dst")
fit at fitted
it gives me error : object "fit" not found
Why it doesn't recognize fit?
Thanks,
Shirin
2011 Sep 15
0
garchFit
Hi,
i am a student of tecnical mathematics in austria, and my english is not
sooo good, German would be easier, but an answer in english is perfect too.
I would need any help to understand the exact output of the function
"garchFit". Maybe it would help me just to know what the coefficients are
telling me.
I do already understand well what functions like arima or garch are doing
and
2011 Sep 20
0
predict() of garchFit
Hi,
could anyone tell me how predict() predicts the meanError or
standardDerivation of a garchFit(1,1)-model,
knowing the coefficients mu, omega, alpha1, beta1 and of course all
datapoints?
Thanks and sorry for my poor english.
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2008 Feb 04
1
garchFit (PR#10698)
Full_Name: Scott Yonker
Version: R for OSX Cocoa
OS: Mac OSX
Submission from: (NULL) (24.208.185.211)
The garchFit function in the Rmetrics libray cannot estimate ARCH models,
meaning that the number of beta terms in the model must be greater than zero.
For this function neither p nor q can be set to zero without an error. The
problem lies in both the specification of the objective function
2004 Nov 10
2
fSeries
Good morning everyone,
I use for the first time the package fSeries and i try to run the example
given by Diethelm Würtz. But when i run its example which is the following
#
# Example:
# Model a GARCH time series process
#
# Description:
# PART I: Estimate GARCH models of the following type ARCH(2)
# and GARCH(1,1) with normal conditional distribution functions.
# PART II: Simulate
2010 Mar 17
1
Reg GARCH+ARIMA
Hi,
Although my doubt is pretty,as i m not from stats background i am not sure
how to proceed on this.
Currently i am doing a forecasting.I used ARIMA to forecast and time series
was volatile i used garchFit for residuals.
How to use the output of Garch to correct the forecasted values from ARIMA.
Here is my code:
###delta is the data
fit<-arima(delta,order=c(2,,0,1))
fit.res <-