Displaying 6 results from an estimated 6 matches for "standarddevi".
2008 Apr 01
1
garch prediction
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
....................................................................................
I know that if I use fit = garchFit(~garch(1, 1), data =ret) I got constant
mean, so trherefore I include amra term t...
2005 Apr 10
0
Re: beta distribution in terms of it's mean and standarddeviation
...-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Tolga Uzuner
Sent: Monday, 11 April 2005 9:01 AM
To: tolga at coubros.com
Cc: r-help at stat.math.ethz.ch
Subject: [R] Re: beta distribution in terms of it's mean and
standarddeviation
Tolga Uzuner wrote:
> Hi,
>
> Is the beta distribution implemented in terms of it's mean and
> standard deviation, as opposed to alpha and beta, in any R package ?
>
> Thanks
> Tolga
>
Hmm... answering my own question... guess there is no bijection between
{alp...
2008 Apr 07
1
re garding Garch prediction mechanism
Hi,
I am having some confusion.It has been said that we can only estimate the
future values using meanForecast +/- 2*standardDeviation. with 95%
confidence.This means using this garch model we can only have a upper and
lower limit of the values within which the next actual value is expected to
lie.Then how come in research papers they plot the actual and predicted
value so neatly.The simple problem i am finding is that i am h...
2013 Feb 17
0
forecast ARMA(1,1)/GARCH(1,1) using fGarch library
...nt as conditional distribution,
for this i used the fGarch librray, the code is the following:
h<-garchFit(~arma(1,1)+garch(2,2),data=R,cond.dist="std",TRACE=F)
On the other hand, for the prediction i use the function "predict".
predict(h,10)
meanForecast meanError standardDeviation
1 0.001451401 0.01531682 0.01531682
2 0.001265062 0.01540083 0.01539350
3 0.001263344 0.01549628 0.01548892
4 0.001263328 0.01557306 0.01556565
5 0.001263328 0.01566420 0.01565676
6 0.001263328 0.01574062 0.01573312
7 0.001263328 0...
2006 Jul 14
3
Generating random normal distribution with mean 0 and standard deviation 1
Hello,
This must be really simple, but I can't find it on R Site search. I need to
generate a random normally distributed series with mean 0 and sd 1. In
Matlab, this code is randn(n).
The closest I found is runif(20,-1,1) but this forces a maximum and a
minimum, and there's no way to specify a standard deviation of 1.
>sd(runif(20,-1,1))
[1] 0.578164
2010 Mar 17
1
Reg GARCH+ARIMA
Hi,
Although my doubt is pretty,as i m not from stats background i am not sure
how to proceed on this.
Currently i am doing a forecasting.I used ARIMA to forecast and time series
was volatile i used garchFit for residuals.
How to use the output of Garch to correct the forecasted values from ARIMA.
Here is my code:
###delta is the data
fit<-arima(delta,order=c(2,,0,1))
fit.res <-