Displaying 20 results from an estimated 2000 matches similar to: "arma model with garch errors"
2009 Jun 19
1
using garchFit() to fit ARMA+GARCH model with exogeneous variables
Hello -
Here's what I'm trying to do. I want to fit a time series y with
ARMA(1,1) + GARCH(1,1), there are also an exogeneous variable x which I
wish to include, so the whole equation looks like:
y_t - \phi y_{t-1} = \sigma_t \epsilon_t + \theta \sigma_{t-1}
\epsilon_{t-1} + c x_t where \epsilon_t are i.i.d. random
variables
\sigma_t^2 = omega + \alpha \sigma_{t-1}^2 + \beta
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
2008 Aug 18
1
another GARCH problem
Hallo,
i want to fit a GARCH model with a extern regressor (without arma
components), so i found the following function in package fGarch. I tryed
out a lot of things but usually I get this Error.
> garchFit(formula=y~x, formula.var=~garch(1,1),data=w)
Error in .garchFit(formula.mean, formula.var, series = x, init.rec, delta,
:
Algorithm only supported for mci Recursion
I think i use the
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 <-
2011 May 04
1
fGarch
Hi,
I am attempting to fit a ARMA/GARCH regression model without success.
### ARIMA-GARCH model with regressor ###
### Time series data: A multivariate data set.
cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])]
cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1))
### The following R scripts work:
(summary(no.day.fitr <- garchFit(dq ~ arma(0,3) +
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =
2008 Aug 18
1
ARMA(0,2) & GARCH(1,1) - code & hessian
Hello R-list-members,
I'm trying to model ARMA(0,2) & GARCH(1,1) process using the code below, but according to my textbook, the estimated parameters are wrong. The MA-parameters should be negative. (I've got the same problem using garchFit()). Can anyone tell me what I'm doing wrong? And how can I calculate the hessian matrix?
Many thanks,
Desislava Kavrakova
Code:
2013 Feb 17
0
forecast ARMA(1,1)/GARCH(1,1) using fGarch library
Hi, i am working in the forecast of the daily price crude .
The last prices of this data are the following:
100.60 101.47 100.20 100.06 98.68 101.28 101.05 102.13 101.70 98.27
101.00 100.50 100.03 102.23 102.68 103.32 102.67 102.23 102.14 101.25
101.11 99.90 98.53 96.76 96.12 96.54 96.30 95.92 95.92 93.45
93.71 96.42 93.99 93.76 95.24 95.63 95.95 95.83 95.65
2013 Apr 08
0
Maximum likelihood estimation of ARMA(1,1)-GARCH(1,1)
Hello
Following some standard textbooks on ARMA(1,1)-GARCH(1,1) (e.g. Ruey
Tsay's Analysis of Financial Time Series), I try to write an R program
to estimate the key parameters of an ARMA(1,1)-GARCH(1,1) model for
Intel's stock returns. For some random reason, I cannot decipher what
is wrong with my R program. The R package fGarch already gives me the
answer, but my customized function
2011 May 15
4
DCC-GARCH model
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And the aim is to estimate
coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument = "^gspc",start = "2005-01-07",end =
2011 Jul 13
1
AR-GARCH with additional variable - estimation problem
Dear list members,
I am trying to estimate parameters of the AR(1)-GARCH(1,1) model. I have one
additional dummy variable for the AR(1) part.
First I wanted to do it using garchFit function (everything would be then
estimated in one step) however in the fGarch library I didn't find a way to
include an additional variable.
That would be the formula but, as said, I think it is impossible to add
2009 Nov 06
1
GARCH Models in R
Dear all,
I'm using garchFit from fSeries package and I am not getting the desired
results (error message : could not find function "garchFit" ).
Would you please advise as to how I can build an ARIMA(p, d, q) -
GARCH(p,q) model using R
see the attached data and R-output.
Thanking you in advance
Kind regards
Mangalani Peter Makananisa
Statistical Analyst
South
2011 Nov 20
1
alpha_1 + beta_1 >1 in GARCH(1,1)
Hi,
as i suppose to know in a stationary GARCH(1,1) model 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
--
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2006 Apr 26
2
garch in tseries
Hello again!
Is there a way to include a mean in the garch function in the
library(tseries), please?
I tried include.mean=T in the function statement but it didn't work
thanks in advance!
R Version 2.2.1 Windows
Sincerely,
Erin
mailto: hodgess at gator.uhd.edu
2010 Aug 15
2
fGarch: how to use garchFit() in loop?
Dear expeRts,
How can I specify the order p,q of a GARCH(p,q) model within a loop? Here's a minimal example showing that an "Formula and data units do not match"-error appears:
library(fGarch)
spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
data <- garchSim(spec, n = 100)
x <- list()
for(q in 1:3){
print(q)
x[q] <-
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =
2011 Mar 24
1
Problems with predict in fGarch
Hello. I am using fGarch to estimate the following model:
Call:
garchFit(formula = fmla, data = X[, i], trace = F)
Mean and Variance Equation:
data ~ arma(1, 1) + garch(1, 1)
Conditional Distribution:
norm
Coefficient(s):
mu ar1 ma1 omega alpha1 beta1
-0.94934 1.00000 -0.23211 54.06402 0.45709 0.61738
Std. Errors:
based on Hessian
Error Analysis:
2005 Dec 13
1
fSeries
I'm trying to use garchFit from fSeries, with Student or Skewed Student conditionnal distribution. Let's say that eps (vector) is my series of daily log-returns:
data(EuStockMarkets)
eps = diff(log(EuStockMarkets[,"CAC"]))
library(fSeries)
g = garchFit(series = eps, formula.var = ~garch(2,2), cond.dist = "dstd")
s = g at fit$series
All the coefficients are ok
2009 Apr 06
1
Problem with Extracting Fitted Values from fGarch package
Good day everyone,
I fitted a GARCH model to a time series and R estimated the model and provide me with the estimates. However, when I tried to extract the fitted values from the estimated model I got the following error message:
"Error in .local(object, ...) : object "fit" not found"
I used the following to extract the fitted values
fitted_TASI <- fitted(garchFit(~
2008 May 23
1
GARCH-like
I need to change the code of Garch to the FCGARCH (a non-linear
multi-regime GARCH).
I don't know nothing about R.
I'd like to know how can I get the code of the garch in order to change it
and make the fit for the FC-GARCH.
Any non-linear code will be helpfull because if doesn't help in the
programming it helps in getting familiar with R.
Thank you
Renato
--
PhD Student Renato