search for: user84

...del the sum of alpha and beta has to be smaller than 1. But if i use the garchfit() function from the package fGarch for my timeseries the sum is bigger than 1. The adf.test tells me a p-value smaller than 0.01 instead. What does this mean for me? Can i trust in the coefficients in this case? mfg user84 -- View this message in context: http://r.789695.n4.nabble.com/alpha-1-beta-1-1-in-GARCH-1-1-tp4088342p4088342.html Sent from the R help mailing list archive at Nabble.com.

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 message in context:

Hi, could anyone tell me how predict() predicts the new value(s), of a MA(1) arima-modell. its really easy to make it with an AR(1), knowing the last term, but how can i or R know the last error? It would also help if somebody could tell me how to find the "open" source of the function predict(). Thanks and sorry for my poor english. -- View this message in context:

...save' saved object names instead of objects (Sarah Goslee) > 23. Re: 'save' saved object names instead of objects (Downey, Patrick) > 24. Re: 'save' saved object names instead of objects (Duncan Murdoch) > 25. How to fit a non-normal-dist.-GARCH() time series? (user84) > 26. (Requested) caTools::runmean Patch (R. Michael Weylandt) > 27. Re: Wrapper of linearHypothesis (car) for post-hoc of > repeated measures ANOVA (John Fox) > 28. Re: Re-installing R (John C Frain) > 29. comparing factor and value data (rather offtopic) (Petr P...

Hi, i did in the last month a research about timeseries with the function ARIMA(). Where i had to know how to predict and forecast new datapoints in the future. Not only the things the functions predict() and forecast() can do. All was ok, as the arima function was in the major parts convergent and i did know how to predict for example in a simple ARIMA(x,0,y)-model. Now i have to do the same

Hi, i am a student of tecnical mathematics in austria, and my english is not sooo good, German would be easier, but an answer in english is perfect too. I would need any help to understand the exact output of the function "garchFit". Maybe it would help me just to know what the coefficients are telling me. I do already understand well what functions like arima or garch are doing and

Hi, could anyone tell me how predict() predicts the meanError or standardDerivation of a garchFit(1,1)-model, knowing the coefficients mu, omega, alpha1, beta1 and of course all datapoints? Thanks and sorry for my poor english. -- View this message in context: http://r.789695.n4.nabble.com/predict-of-garchFit-tp3826335p3826335.html Sent from the R help mailing list archive at Nabble.com.