similar to: mgarch-BEKK

I used "mgarch" and "mgarchBEKK" packages to esti,ate a BEKK?model ,but i cannot get the P-value of the coefficient ? how can I get P-value ,anyone can help me ? thanks -- View this message in context: http://r.789695.n4.nabble.com/BEKK-help-tp3674545p3674545.html Sent from the R help mailing list archive at Nabble.com.

Dear All, I attempted to fit a DVEC and a BEKK multivariate GARCH model, but am wondering which package to use. 1. I tried to use "rmgarch" package in R, but I couldn't find the subroutines for DVEC and BEKK. 2. I tried to find "rmgarch" package of R, which is not located on the official R site. This is the latest version I can find, where the programs were

Dear ALL, I use BEKK package to estimate Bivariate GARCH model. But when the results come out, there's no t-stat or p-value of the estimated coeffients. Does anyone know how to get the significance? Followings are the codes I input, >P1=data.frame(x,y) >y1=mvBEKK.est(P1) >mvBEKK.diag(y1) Anyhelp would be appreciated! Sincere, Zoe -- View this message in context:

Dear all, I want to run the VECM BEKK model, but I cannot find the corresponding package to run this model. Anybody can help? Thanks a lot Ted -- View this message in context: http://n4.nabble.com/How-to-run-the-VECM-BEKK-model-in-R-tp1564555p1564555.html Sent from the R help mailing list archive at Nabble.com.

Is there a package or function for multivariate garch model in R? I am having a hard time in locating one. Thanks for help in advance. -Young [[alternative HTML version deleted]]

Hello, I am currently testing a Vector AR of dim 3 over not a lot of data (135 * 3 observations) . To test the adequation of my vecot ar, I use the Schwarz Bayesian Criterion and the classic modified Portmanteau test on the residuals (it can be found for instance in http://www.iue.it/PUB/ECO2004-8.pdf , page 15) -> the null hypothesis is "the residuals process are a vectorila white

Question: How do I isolate the p-value from the serial.test function (portmanteau test)? Details: I tried the following set of commands > testResult <- serial.test(vec2varModelFit) > thePValue <- testResult$p.value When i type 1) thePValue I get: "NULL" 2) testResult I get "Portmanteau Test (asymptotic) data: Residuals of VAR object vecm.level Chi-squared

Hi, I am a novice in R. I would like to use a package called "mgarch", but I have trouble installing it. It is not available on CRAN servers. I downloaded the tar.gz file online. (mgarch_0.00-1.tar.gz) I have tried to install it using the "Install Packages" module. I am not even sure if it is a binary or source package, or what it is, but neither seem to work when I use the

Hi R-users Can the users let me know how to do MGARCH estimate (Bivariate GARCH) and volatility forecast for 2 variables in R. thanks and regards snvk

Sorry to be off-topic. Can somebody please explain me what is Portmanteau test? Why it's name is like that? When I would say, a particular test is portmanteau test? I did some googling but got no satisfactory answer at all. Please anybody help for understanding that? Regards, -- View this message in context:

Hi, There's been quite a bit of interest and discussion for naming LLVM. So much so that I can't keep up with all the changes and ideas. We're working on getting a Wiki and CMS system running but its likely not to be available for a while. Until then, I'd like to change the rules for name submission: 1. If you have commit access, make the changes yourself. Please don't

Reid Spencer wrote: Reid, Seeing as we don't have a wiki, do you need help applying these patches? -- John T. > Hi, > > There's been quite a bit of interest and discussion for naming LLVM. So > much so that I can't keep up with all the changes and ideas. We're > working > on getting a Wiki and CMS system running but its likely not to be > available >

Hi, We just spent half an afternoon figuring out why "jruby -S rake spec" didn''t generate any output at all (no warnings) on an edge rails app. We were seeing different behaviour on different boxes, and after a while figured out that it was related to a missing diff-lcs gem on one box. HTH, Stefan -- Bekk Open Source http://boss.bekk.no -------------- next part

I don't like very much mithology or fantasy names. A portmanteau is more professional (even if it sounds funny). For now IMHO the best proposal is Omnipiler and OmniC, even if the last one reminds too much of C. Maybe Omnic (with the lowercase c), or Omnip are better. Simple, elegant and somehow reminds of something technological (to me at least :P). So my idea is to list some key words and

On Thu, 2007-04-12 at 15:19 -0700, Jeff Cohen wrote: > Adamant isn't a Tolkien creation. It often refers to diamonds, but > historically can mean any hard, "unbreakable" stone, metal or other > substance. It's in the dictionary :) I'm having enough trouble this end just keeping up with the submissions, never mind tracking down the etymology of all submissions. If

Hello, I am looking at the job satisfaction data below, from a problem in Agresti's book, and I am not sure where the degrees of freedom come from. The way I am fitting a binomial model, I have 168 observations, so in my understanding that should also be the number of fitted parameters in the saturated model. Since I have one intercept parameter, I was thinking to get 167 df for the Null

Hi , Are there any multivariate GARCH package (e.g., BEKK) in R? I do see a few "projects" constructing multivariate GARCH package, but wonder if there is anyone that is ready for use. Thanks, Miao [[alternative HTML version deleted]]

On Mon, 16 Oct 2017 10:40:44 -0400 (EDT) me at tdiehl.org wrote: > Hi Rowland, > > > On Sun, 15 Oct 2017, Rowland Penny via samba wrote: > > > On Sun, 15 Oct 2017 13:38:13 -0400 (EDT) > > me at tdiehl.org wrote: > > > >> Yes I understand, however, there are 2 things I am concerned about. > >> > >> When the errors are spewing, winbind

On 4/12/07, Chris Lattner <sabre at nondot.org> wrote: > Note that the name need not capture every aspect of the project. Just > having a distinguished name with no specific connotation is probably good > enough. 20 years ago, "google" and "yahoo" had very different meanings, > and "mozilla" or "firefox" were pretty meaningless. Today,

On Mon, 16 Oct 2017, Rowland Penny via samba wrote: > On Mon, 16 Oct 2017 10:40:44 -0400 (EDT) > me at tdiehl.org wrote: > >> Hi Rowland, >> >> >> On Sun, 15 Oct 2017, Rowland Penny via samba wrote: >> >>> On Sun, 15 Oct 2017 13:38:13 -0400 (EDT) >>> me at tdiehl.org wrote: >>> >>>> Yes I understand, however, there are