search for: rugarch

Hi, i am unable to install the rugarch package. More than that i do not even find this package in my list of possible packages. Its possible than the name has changed, or the package is not longer availiable? Is there a similar package avaliable for garch modelling except the fGarch what i am using now? many Thanks Roland -- View this...

Hi, I`m about to switch from STATA to R and have serious troubles to find proper documentations on the internet. Right now I try to find a proper documentation of the eGARCH model being part of the rugarch package. Neither here http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf nor here http://cran.r-project.org/web/packages/rugarch/rugarch.pdf could i find some information that was helping. In this post http://r.789695.n4.nabble.com/RUGARCH-eGARCH-and-...

Hi I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value. Following were the commands that I was using: library(rugarch) spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std") fit=ugarchfit(data=b,spec=spec) si...

...= 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-tp4643485.html Sent from the R help mailing list arch...

I can't install rugarch package because installation of nloptr package fails . I use opensuse 12.3 # uname -a Linux candide 3.7.10-1.11-desktop #1 SMP PREEMPT Thu May 16 20:27:27 UTC 2013 (adf31bb) x86_64 x86_64 x86_64 GNU/Linux my gcc version is 4.8.1 I compiled and installed R 3.01 . then I tried to install rugarch p...

Let me start with the code: library(quantmod) library(rugarch) getSymbols("SPY", from="1900-01-01") rets=na.trim(diff(log(Cl(SPY)))) tt = tail(rets["/2004-10-29"], 1000) spec = ugarchspec(variance.model=list(garchOrder=c(1,1)), mean.model=list(armaOrder=c(2,5)), distribution.model="sged") for(ii in 1:10) { ttFit = ug...

...now if there is the possibility to fit a gamma distribution using ugarch?honestly i don't know if maybe is possible to fix some parameters that reduce ghyp or ged in a gamma distribution.. thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/gamma-distribution-in-rugarch-package-tp4637893.html Sent from the R help mailing list archive at Nabble.com.

Dear all, I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms. Do I have to use positive values for VaR in the VaRTest() formula? Thanks for your help. [[alternative HTML version delete...

I am sorry to ask this group but the maintainer of this package did not 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[[&q...

Dear r-helper I am pleased to send you this email. I have the R 2.11.1 and R 2.15.1 versions but they dose't have GARCH models. May you please guide me in which version can i find GARCH models. Best. M.Izadi [[alternative HTML version deleted]]

Hey, I'm trying to implement a GARCH model with Johnson-Su innovations in order to simulate returns of financial asset. The model should look like this: r_t = alpha + lambda*sqrt(h_t) + sqrt(h_t)*epsilon_t h_t = alpha0 + alpha1*epsilon_(t-1)^2 + beta1 * h_(t-1). Alpha refers to a risk-free return, lambda to the risk-premium. I've implemented it like this: #specification of the model

hi someone can show me how can i get the source code of a function. Is a S4 class or Method. (I'm not an expert in R environment) Exactly, Function "ugarchsim" from library (rugarch). I need to know (in detailed ) how the variance and mean ecuation of a arma/garch process are calculated. With other packages like "fGarch" i used to invoked the function debug () and allows me to step into the functions but with ugarchsim i can't use it. any suggestions are well r...

Dear list, Can one suggest me if there is an R function/package to estimate and simulate vector autoregressive (VAR) model allowing for the GARCH effect please? Thanks Mamush [[alternative HTML version deleted]]

Hi I want to implement Egarch (1,1) with t distribution model using RExcel and VBA. May I know the syntax. Following is the code that I 'm using. rinterface.RRun "spec=ugarchspec(variance.model=list(model=(eGARCH),garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model=(std))" rinterface.RRun "fit = ugarchfit(Data = b, spec = spec)"

Hi, I try to understand how the generalized hyperbolic distribution is standardized. One reference is the rugarch vignette, page 16-18: http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf I looked at the code of the dsgh function in the fBasics package: > dsgh function (x, zeta = 1, rho = 0, lambda = 1, log = FALSE) { if (length(zeta) == 3) { lambda...

Hey everybody, i am using the rugarch-package and its great! I have a pretty easy problem, but i just dont get it, so thanks if you can help me. Normally i use: / data(DATANAME) spec = ugarchspec() fit = ugarchfit(data = x[,1], spec = spec) fit slotNames(fit) names(fit at fit) coef(fit) infocriteria(fit) likelihood(fit) nyblom(fi...

Hi, I want to format my axis in my persp3d plot. With my data, which I attached I created a persp3d plot with the following code, which I summarized from different code snippets I found: library(rugarch)library(rgl)library(fGarch)fd <-as.data.frame(modelfit,which ='density')color <-rgb(85,141,85,maxColorValue=255)x <-seq(-0.2,0.2,length=100)y <-c(1:2318)f <-function(s,t){dged(s,mean=fd[t,'Mu'],sd=fd[t,'Sigma'],nu=fd[t,'Shape'])}z <-outer(x,y,f)pers...

...ivisor Functions Aliases: sigma pmclust::PARAM A Set of Parameters in Model-Based Clustering. Aliases: SIGMA qualityTools::sigma Get and set methods Aliases: sigma robustbase::sigma Extract Residual Standard Error 'Sigma' Aliases: sigma rugarch::uGARCHfit-class class: Univariate GARCH Fit Class Aliases: sigma shapes::distCholesky Internal function(s) Aliases: sigma which also shows to the curious why I am making this proposition: I'm co-author of both the 'lme4' and 'robustbase' packages which alr...

...ther than general optimization stuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > I'm very confused by these statements. Most of the "finance tools" use general-purpose global and/or stochastic optimization packages (e.g. rugarch uses nloptr and Rsolnp, PortfolioAnalytics uses DEoptim, pso, GenSA). And most (all?) of those optimization packages have ways to specify box, equality, and nonlinear inequality constraints. And I can't recall the last time someone emailed the list about optimizing a traditional Markowitz mea...

...ation stuff! And I am not optimizing a > traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > > > I'm very confused by these statements. Most of the "finance tools" > use general-purpose global and/or stochastic optimization packages > (e.g. rugarch uses nloptr and Rsolnp, PortfolioAnalytics uses DEoptim, > pso, GenSA). And most (all?) of those optimization packages have ways > to specify box, equality, and nonlinear inequality constraints. > > And I can't recall the last time someone emailed the list about > optimizing a t...