search for: upperb

...n't understand what the problem is. Many thanks, Desislava Kavrakova Code: garchfitS<-function(x){ x<<-ts(x) r<<-0.05/365 n<<-length(x) Mean = mean(x); Var = var(x); S = 1e-6 param = c(alpha0 = Var, alpha = 0.1, beta = 0.8) lowerB = c(alpha0 = S^2, alpha = S, beta = S) upperB = c(alpha0 = 100*Var, alpha = 1-S, beta = 1-S) llh<-function(p){ alpha0<-p[1] alpha<-p[2] beta<-p[3] hh<-Var for (i in 2:n){ hh[i]<-alpha0+alpha*(x[i-1]-r+0.5*hh[i-1])^2+beta*hh[i-1] } hh<-ts(hh) h<-sqrt(abs(hh)) z<-(x-r+0.5*hh)/h -(-(sum(0.5*(log(hh[2:n])+(z[2:n])^2))))...

...Many thanks, Desislava Kavrakova Code: garch<-function(x){ x<<-ts(x) n<-length(x) Mean = mean(x); Var = var(x); S = 1e-6 param = c(a = Mean, b1 = S, b2 = S, alpha0 = 0.1*Var,alpha = 0.1, beta = 0.8) lowerB = c(a = -10*abs(Mean), b1 = S-1, b2 = S-1, alpha0 = S^2, alpha = S, beta = S) upperB = c(a = 10*abs(Mean), b1 = 1-S, b2 = 1-S, alpha0 = 100*Var, alpha = 1-S, beta = 1-S) llh<-function(p){ a<-p[1] b1<-p[2] b2<-p[3] alpha0<-p[4] alpha<-p[5] beta<-p[6] res<-array(length(x)) hh<-array(length(x)) res[1]<-x[1]-a res[2]<-x[2]-a-b1*res[1] for (i in 3:n){...

...Mean = mean(x); Var = var(x); S = 1e-6 param = c(reg$coef, dum = 0, alpha0 = 0.1*Var,alpha = 0.1, beta = 0.8) # start values lowerB = c(a = -10*abs(Mean),di = S-1, mi = S-1, do = S-1, fr = S-1, b1 = S-1, b2 = S-1, b3= S-1, b4= S-1, dum = S-1, alpha0 = S^2, alpha = S, beta = S) upperB = c(a = 10*abs(Mean), di = 1-S, mi = 1-S, do = 1-S, fr =1-S, b1 = 1-S, b2 = 1-S,b3 = 1-S, b4 = 1-S, dum = 1-S, alpha0 = 100*Var, alpha = 1-S, beta = 1-S) fitt<-maxLik(start=param, logLik=garch2,method="BHHH", x=dat2$r_csi,Di=dat2$Di,Mi=dat2$Mi,Do=dat2$Do,Fr=dat2$Fr,y=dat2$r_t,z=...