search for: tsay

Hi, Does anyone know if R has a Lagrange multiplier (LM) test for ARCH effects for univariant time series? Thanks! -- Tom [[alternative HTML version deleted]]

Hi, I'm trying to work with TsayData in fSeries package. How can i fetch any time series data of this package. Please advice. Thanks, Sumanta Basak. Send instant messages to your online friends http://in.messenger.yahoo.com

Hi all, I am looking for study resources for (financial) time series? Hopefully I could find video lectures then it will reduce the learning curve. Thanks a lot! [[alternative HTML version deleted]]

Hi, All: FinTS version 0.2-7 is now available on CRAN. This version adds two new functions: * ArchTest to compute the Engle (1982) Lagrange multiplier test for conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with examples on those pages worked in the R script in "~R\library\FinTS\scripts\ch03.R", where "~R" is your local R installation directory. The code for this was kindly provided by Bernhard Pfaff. * Acf and plot.Acf to plot the autocorrelation function without the no...

Hi, All: FinTS version 0.2-7 is now available on CRAN. This version adds two new functions: * ArchTest to compute the Engle (1982) Lagrange multiplier test for conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with examples on those pages worked in the R script in "~R\library\FinTS\scripts\ch03.R", where "~R" is your local R installation directory. The code for this was kindly provided by Bernhard Pfaff. * Acf and plot.Acf to plot the autocorrelation function without the no...

Hellow all R fans, I wrote a R program for SCAN: Smallest CANonical Correlation Method for ARIMA(p,d,q) identification. (by Tsay and Tiao (1985)) I don't know if there is already one for this, but since I was unable to find one, so I did it. It's ready to download at the following page http://netstat.stat.tku.edu.tw/download.php I've tested the program and comared the results with SAS example out...

Dear all, I'm using R 2.8.1 under Windows Vista on a dual core 2,4 GhZ with 4 GB of RAM. I'm trying to reproduce a result out of "Analysis of Financial Time Series" by Ruey Tsay. In R I'm using the fGarch library. After fitting a ar(3)-garch(1,1)-model > model<-garchFit(~arma(3,0)+garch(1,1), analyse) I'm saving the results via > result<-model at fit$se.coef I'm wondering how the first variance > result at h.t[1] is computed, i....

Dear all R user, Please forgive me if my problem is too simple. Actually my problem is basically Statistical rather directly R related. Suppose I have return series ret with mean zero. And I want to fit a Garch(1,1) on this. my is r[t] = h[i]*z[t] h[t] = w + alpha*r[t-1]^2 + beta*h[t-1] I want to estimate the three parameters here; the R syntax is as follows: #