Displaying 3 results from an estimated 3 matches for "garchoxmodelling".
2007 Jun 16
1
fSeries - Ox - ver: 240.10068 - Steps to make it work
...ject.
2. Install fSeries.
3. Download: http://www.core.ucl.ac.be/~laurent/G@RCH/site/xbdcons/garch42.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 &quo...
2005 Aug 18
1
code a family of garch
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
2005 Oct 18
2
FIGARCH
Hi All,
Currently I'm working in FIGARCH process [Fractionally Integrated
Generalized Autoregressive Conditional Heteroscedasticity]. I've already
got the codes to do the process in S-Plus. Can anyone help me to do it
in R?
Thanks,
SUMANTA BASAK.
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