search for: garchspec

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] <- list(garchFit(~garch(1,q),data=data,trace=FALSE)) } Cheers, Marius

Greetings, I am using fGarch package to estimate and simulate GARCH models. What I would like to do is to perform Monte Carlo simulation. Unfortunately I cannot figure how to modify the code to achieve this. I use the following code to run a single simulation: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0)) sim<-garchSim(spec, length(dp)-1,extended=T) Can someone suggest a modification to the code which would allow to obtain multiple simulations? Many thanks, Jurica Brajkovic

...8 respectively (and beta1 has a standard error of NaN) - which are not consistent at all with what EViews reported. How is this possible? Is it because GARCH estimation with a student's t distribution with 2 degrees of freedom is impossible? What are my options in this case? Or do I need to use garchSpec, of which I have absolutely *no* idea what its use is (i.e. the entire idea is to obtain estimates for a given order of AR-GARCH, right)? 2) R/RGui crashes frequently - also if I "just" want to estimate a GARCH(1,1) with a student's t distributed error term and 4 or 5 degrees of free...

I use fGarch package to estimate AR(1)-ARCH(1) process for a vector of returns. Then, using the estimated parameters I want to simulate 10 000 sample paths where each path has the same length as the vector of returns. So the first line of the code is: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0))---- The only way I can think of generating 10 000 sample paths is by looping. But in the line of code that tells R to simulate data - sim<-garchSim(simspec, 100000,extended=F) ? I cannot figure out how to make the...

Dear all, I am using GARCH (1,1) model to simulate volatility. But seems that I am missing something about how it works in R. The following code produces negative results, though vola cannot be. What is wrong here? library("fSeries") library("fGarch") spec = garchSpec(model = list(omega = 0.01, alpha = 0.13, beta = 0.86)) gat <- garchSim(spec, n = 10) Thanks a lot! [[alternative HTML version deleted]]

Hello I want to predict the future values of time series with Garch When I specified my model like this: library(fGarch) ret <- diff(log(x))*100 fit = garchFit(~arma(1,0,0)+garch(1, 1), data =ret) predict(fit, n.ahead = 10) meanForecast meanError standardDeviation 1 0.01371299 0.03086350 0.03305819 2 0.01211893 0.03094519 0.03350248

Hello,   Could someone help me please and to tell how to get the probability from empirical DENSITY (not parametric) for each data value (R function). For example, for normal distribution there is such a function like:   “dnorm(q, mean = 0, sd = 1, lower.tail = TRUE, log.p = FALSE)”   I need the same function only for the empirical DENSITY function (which does not correspond to any typical