search for: garchmodel

I have some comments on the Fortran code in the fseries package in file 4A-GarchModelling.f , especially the subroutine GARCHFIT and function DSNORM. I appended the code to the end of an earlier message, but it was rejected by some rule. Let me first say that I am grateful that packages for financial econometrics exist in R. Fortran 77 had PARAMETERs, and PARAMETERs equal to 99999...

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

...odel = "norm", start.pars = list(), fixed.pars = list()) ugarchfit(spec, X2, out.sample = 0, solver = "solnp", solver.control = list(trace = TRUE, tol=1e-4, delta=1e-8), fit.control = list(stationarity = 1, fixed.se = 0, scale=0)) I got this error massage *In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, ... : rugarch-->warning: failed to invert hessian * I think rugarch is not converge the result properly. Please let me know how to deal with this problem. Regards, Serdar -- View this message in context: http://r.789695.n4.nabble.com/rugarch-package...