Displaying 8 results from an estimated 8 matches for "tsay".

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2008 Feb 02

1

ARCH LM test for univariant time series

Hi,
Does anyone know if R has a Lagrange multiplier (LM) test for ARCH
effects for univariant time series?
Thanks!
--
Tom
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2006 May 29

1

TsayData

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.
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2009 Aug 23

1

study resources for time series?

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!
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2008 Feb 13

0

FinTS_0.2-7

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...

2008 Feb 13

0

FinTS_0.2-7

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...

2002 May 05

0

Announce: My arma_scan.R for ARIMA

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...

2009 Feb 08

0

Initial values of the parameters of a garch-Model

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....

2006 Nov 07

1

Comparison between GARCH and ARMA

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:
#