similar to: Problems with predict in fGarch

Hello, I was using garchFit {fGarch} to fit some GARCH processes. I noticed that the result contains "Log Likelihood" value (right above "Description"), but when I use .. at fit$llh to retrieve Log Likelihood value, the sign switched. I am confused about which value I should choose to report... Any help here? Thanks a lot! Ted -- View this message in context:

hello everybody, I would like to fit a model to a times series (testing set) for out of sample predictions using garchFit(). I would like to keep the coefficients of ARMA/GARCH model fixed (as found by fitting the model to my training set). The arima fitting function has such an option for that (fixed=NULL) but the garchFit() doesnt. It is very important for me to keep the same coefficients

I use fGarch package to estimate AR(1)-ARCH(1) process for a vector of returns. Then, using the estimated parameters I want to simulate 10 000 sample paths where each path has the same length as the vector of returns. So the first line of the code is: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0))---- The only way I can think of generating 10 000

Greetings, Suppose I fit an fGarch model via garchFit function for a time series X. I'm wondering is there any easy way to apply the fitted model to a different time series Y to calculate conditional variances and standardized residuals? Thanks. -- View this message in context: http://r.789695.n4.nabble.com/Applying-previously-fitted-fGarch-model-tp3249585p3249585.html Sent from the R help

Dear all- Package /fGarch/ version 2100.78 in R version 2.8.1 (2008-12-22) running on linux 2.6.22.9-91.fc7 In trying to fit garch models in above environment. I am getting "reasonable" fitted coefficients, but the fitObject@fitted are all the same. This is true even for the help page example: library(fGarch) R> X.timeSeries = as.timeSeries(msft.dat) R> head( +

Hello, The function garchFit in the package fGarch allows for choosing a conditional distribution, one of which is the t-distribution. The function allows specification of the shape parameter of the distribution (equal to the degrees of freedom for the t-distribution), for which the default is set to 4. The function also includes an option "include.shape", which is "a logical flag

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] <-

Hi folks! After updating my packages my R seems to have completely crashed as will not start up - even after I installed 2.8.1 from 2.8.0. I get the following: Fatal error: unable to restore saved data in .Rdata Error in loadNamespeace(name): there is no package called fGarch But I do have a package called fGarch. After I hit ok, it crashes and exits. I cannot use any functionality at all.

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(~

Hello I am trying to use predict from an arma-Garch model (arma(2, 2) + garch(1, 1)) and I am getting the following error: Error en arima(x = object@data, order = c(max(u, 1), 0, max(v, 1)), init = c(ar, : non-stationary AR part from CSS Does anybody know what can be the reason of this error? The model I have estimated is the following: Title: GARCH Modelling Call: garchFit(formula =

Hi there, I'm trying to fit a GJR-GARCH Model using fGarch. I wanted to try that by fitting an APARCH model with a fixed delta of 2 and a non-fixed gamma. So I was simply trying to use: spec <- garchFit(~aparch(1,1),data=garchSim(),delta=2) coef(spec) And sometimes, it's working like a charm and delta is indeed exactly 2 in the resulting coefficient vector. Frequently, though, the

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

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) +

I have a data set for different time intervals. The data has three comment lines before data for each time interval. For each time interval there are 500 data points. I want to change the dataset such that I have the following format: t1 t2 t3 ................ 0.00208 0.00417 0.00625 ................. a1 a2 a3 ...................

Howdy I apologize for duplicated posting. But I decided to correct my previous posting. I had the regression results using r <- lm(Y ~ nemp + as.factor(devt), data=d). First, there is the result of anova(r). Here I could not find regression coefficients. Response: Y Df Sum Sq Mean Sq F value Pr(>F) nemp 1 58.2 58.2 1233.23 < 2e-16 ***

Hi everyone, I'm sorry if this turns out to be more a statistical question than one specifically about R - but would greatly appreciate your advice anyway. I've been using a logistic regression model to look at the relationship between a binary outcome (say, the odds of picking n white balls from a bag containing m balls in total) and a variety of other binary parameters:

I'm having a great deal of trouble replicating x12 ARIMA's F-test used to detect moving seasonality. According to all literature I could find, the test is apparently a 2-way ANOVA with year and month as factors for the SI ratios determined by x12's smoothing algorithm. Note the SI ratio is simply the detrended series. The summary I get from manually running this 2-way ANOVA using the

First, my installation is samba 2.2.8 running as a daemon (not inetd) on Solaris 8 configured to use a WINS server and provide authentication via a PDC (same host as WINS server). I do have an lmhosts file in the samba /lib directory with the PDC/WINS server address in it. My globals section; [global] workgroup = WORKGROUP netbios name = SAMBASERVER security =

Hi all. Ive got a small CRUD app that is giving me some weird isuses. If I add/create an entry that works fine, the data goes into the db. I can later show the data, but when I edit it, no data is displayed in the form for me to edit. Here is the bits from the controller. def new @kb=Knowledgebase.new end def create @kb= Knowledgebase.new(params[:kb]) if @kb.save

I am not sure if your problem is similar to what we have just experienced. we are using samba 2.2.3a-12.3 on debian with winxp sp1 clients we are using roaming profiles first logon after reboot fails sortof Windows cannot find a server copy of roaming profile will logon with local profile funny thing we never saw any activity in hostname.log (seperate smb.log for each machine) smbstatus showed