search for: rgarch

Dear R users, I hope this email finds you well, My name is Mariam and I am currently using R in my thesis project. I is about modeling investors' sentiment. My R skills are very modest and I am trying to solve a Garch in mean equation using the "rgarch" package. The main issue I am facing is with the mean equation, and I need a code for it or a lead on how to edit already existing functions. My mean equation looks like the this: Return = alpha + C1*Variance - (C3 + C4*Variance)*pastReturn - (C5 + C6*Variance)*pastReturn + error ; (C3 and C4...

hello, i was trying to predict values for a garch, so i did: predict(fitgarch,n.ahead = 20) but this doesn't work. Someone can tell me how to get the 20 values ahead of a garch model. thanks in advance _________________________________________________________________ O Windows Live ajuda-o a manter-se em contacto com todos os seus amigos, num só local.

Dear all- Package /fGarch/ version 2100.78 in R version 2.8.1 (2008-12-22) running on linux 2.6.22.9-91.fc7 In trying to fit garch models in above environment. I am getting "reasonable" fitted coefficients, but the fitObject@fitted are all the same. This is true even for the help page example: library(fGarch) R> X.timeSeries = as.timeSeries(msft.dat) R> head( +

Hello, I was wondering if anyone knew how to fit a series using a Garch-M (Garch in the mean) model. From what I gathered from the documentation, it does not seem to be implemented in either fGarch, fSeries, or tSeries. Perhaps there is an option that allows this functionality. Otherwise, if it's possible to modify an existing function I would appreciate any guidance on how to go about

Dear All, Sorry to bother. I'd like to estimate GARCH-M( GARCH IN THE MEAN) model. And find that a package called rgarch could help. But I always can't instal rgarch package successfully. I posted my problems and got some suggestions but still failed. Does any one knows other method that could do GARCH-M model? I appreciate your time and help! Cheers, Xi -- View this message in context: http://r.789695.n4.nabb...

Hi I am using the ugarchspec function from the rgarch package to fit a mean variance model jointly. Following is the code I'm using: > spec = ugarchspec(variance.model = list(model="eGARCH", garchOrder=c(1,1)), mean.model = list(armaOrder=c(1,1))) On doing this, I get the following error: Error in ugarchspec(variance.model = list(m...

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...t leave an email address. Has anyone used or is using the 'rugarch' package with time-series data (ts)? I try to fit a GARCH model to my data using the following: > gf <- ugarchfit(data=l[["MEN"]]$series, spec=spec) and I get: Error in .extractdata(data) : rgarch-->error: class of data object not recognized > class(l[["MEN"]]$series) [1] "ts" The documentation states that : data A univariate data object. Can be a numeric vector, matrix, data.frame, zoo, xts, timeSeries, ts or irts object. I am not sure what I am...