search for: gjr

...coding but not working properly. I have tried to find the problem but failed. I am writing to all R gurus to help me out. Could you please look at the problem and help me if you can. Thanking you saikat Could you please look at the problem below: R message is like below: ------- Error in garch.gjr.d0(param, y, X, Z, iterate = FALSE)$res : $ operator is invalid for atomic vectors plot(Ch.mic,Ch.mic.rep,xlim=c(0,6),ylim=c(0,6)) ----------------------- Coding -------- res<-garch.gjr.d0(a$estimate,y,X,X,iterate=FALSE)$res sig2<-garch.gjr.d0(a$estimate,y,X,X,iterate=FALSE)$sig2 test.mi...

Hi, Could you please help me with EGARCH and GJR? Is it possible to use EGARCH and GJR in R? I have used below mentioned code for GARCH in R, but I never used EGARCH and GJR in R. Thank you in advance! daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T) DAX.kurs<-daten DAX.kurs<-...

Hello, i want to estimate a complex GARCH-model (see below). http://r.789695.n4.nabble.com/file/n4112396/GJR_Garch.png W stands for the Day of the Week Dummies. r stands for returns of stock market indices. I stands for the GJR-term. I need some help with three problems: 1.) implementation of the GJR-term in the variance equation 2.) compute robust covariance matrix (Bollerslev/Wooldbridge,1992) for ro...

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

Good day Ma'am/Sir, I am Resa Mae R. Sangco a Master of Statistics student from the MSU- Iligan Institute of Technology located in Iligan City, Philippines. I am currently doing my thesis entitled ?Bayesian Analysis in GJR-GARCH (p,d) model with Student-t innovations". In finding my posterior distribution since it is hard to integrate, I use Markov Chain Monte Carlo simulation particularly the Metropolis-Hasting Algorithm. Now, I search a package in R but I only found a package ?bayesGarch? which performs the B...

hi, I try to code garch-t(1,1),egach(1,1) and gjr(1,1) to estimate my data. How I can code these model with my data (e.g. garch code is y<-garch(x,order=c(1,1)) best regards, luck

Dear All, Sorry to bother I want to write a function in R using if Say I have a dataset x, if x[i]<0, then x[i]=x[i], if x[i]>0, then x[i]=0 for example, x=-3:3, then using the function, x becomes [-3,-2,-1,0,0,0,0] I write the codes as follows, gjr=function(x) {lena=length(x) for(i in 1:lenx) if (x[i]<0) return (x[i]) if (x[i]>0) return (0) x} but then, doing gjr(x? it only comes out with one number Does anyone have any suggestions? I appreciate a lot! Sincerely, Zoe -- View this message in context: http://r.789695.n4.nabble.com/...

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

...4930.4 , 4997.5 , 4949.6 , 5010.2 , 5090.1 , 5082.3 , 5087.8 , 5143.3 , 5215.5 , 5200 , 5195 , 5130.5 , 5050.9 , 4949.5 , 5126.3 , 5041.9 , 4961.4 , 4871.5 , 4957.1 , 4875 , 4799.9 , 4769.7 , 4651.9 , 4840.7 , 5050.1 , 4957.7 , 5008.2 , 4960.8 , 4934.6 , 4839.2 , 4631.3 ) library(MCMCpack) garch.gjr.d <- function(par,y,X=0,Z=0) { T<-length(y) gamma <-c(par[1:4]) beta <- par[5:8] if(is.matrix(X)){ n.dummies.mean <- dim(X)[2] g <- par[9:(8+n.dummies.mean)] y <- y - X%*%g } else n.dummies.mean <-0 if(is.matrix(Z)){ n.dummies.var <...

Hello all, I would like to know how to call sas code in R. Since I simulate data in R and I need to use sas code (garch-t,egarch and gjr) to estimate it. I need to simulate 500 times with 2000 obs. How I can call that code in R.Also, how I can keep the parameters from the estimate. j=1:500 i=1:2000 sas code keep parameters. Best Appreciate, Luck

Hi there, I'm trying to fit a GJR-GARCH Model using fGarch. I wanted to try that by fitting an APARCH model with a fixed delta of 2 and a non-fixed gamma. So I was simply trying to use: spec <- garchFit(~aparch(1,1),data=garchSim(),delta=2) coef(spec) And sometimes, it's working like a charm and delta is indeed exactly 2 i...

Estimados una consulta me encuentro graficando un histograma cuyos datos no provienen de una distribución clásica como la normal exponenial, poisson, etc, Lo que necesito es colocar una curva no paramétrica que permita evidenciar el ajuste de los datos a esa curva ya que son muchos (alrededor de 80000). Muchas gracias [[alternative HTML version deleted]]

Dear List, I'm now using Ubuntu 10.10 and I want to use the garchoxfit function.It seems that I need to download the package. While after installing the package,I still can't use the garchoxfit function.What's the reason and how to fix that? Thanks for your time! Best, Ning