similar to: Garchoxfit package

Hello, What is wrong in the below code? What do Ihave to do to make it work? Gs file is my working directory but for some reason it cannot be found.. da <- read.table(file.choose(),header=T,sep="\t") head(da) source("garchoxfit_R.txt") m1=garchOxFit(formula.mean=~arma(0,0),formula.var=~igarch(1,1),series=gs,include.var=F) Error in garchOxFit(formula.mean = ~arma(0, 0),

Dear R-helpers, I have just loaded the fSeries package and I wanted to run the example provided in the documentation of garchOxFit but I got the following: > library(fSeries) > ?garchOxFit > library(datasets) > ?garchOxFit > ## Not run: > ## garchOxFit - > # Load Benchmark Data Set: > data(dem2gbp) > x = dem2gbp[, 1] >

Dear Sirs, I have a problem with the garchOxFit output. I want to display only the value of max.like.est and the information criteria. How can I do that; I enclose a part of GarchOxFit output, which is what I want to display. Best regards, Vasilios Ismyrlis GarchOxFit output No. Observations : 1000 No. Parameters : 2 Mean (Y) : -0.05511 Variance (Y) : 1.06869

Dear R help. Hello. I want to fit the model of "FIGARCH" on TimeSeries data. So I need to use the code of "garchOxFit". I don't know how to estimate FIGARCH model. Please let me know which package I need and what is procedure of estimating FIGARCH by R. I think I need this code! &gt; garchOxFit(formula.mean = arma(0, 0), formula.var = garch(1,1), series =

Hello, I am having problems with the GarchOxFit. I have my Ox Console instaled in c:\Program Files\ox, and when I execute the GarchOxFit the result is C:\Ox\bin\oxl.exe not found. I there any posiblility to execute the command without installing again Ox in c:\? My OS is windows XP. Thankyou for your help. Pilar Grau

Hi,   My question is how I load the package garchOxFit. I load the fGarch function that works quite well, but I can't use the garchOxFit function. I have tried looking at Help("garchOxFit"), I as far as I can understand I am supposed to download the OxConsole Software together with the "OxGarch" Package for free somewhere. But I dont know where to download it from? I have

Hi, Could somebody say if it is possible to compute APARCH-models with garchFit commands. I have earlier used aaa (garchOxFit) and now I try to use bbb (look below) aaa <- garchOxFit(formula.mean=~arma(1,0),formula.var=~aparch(1,1),series=nyk,cond.dist=c('gaussian')) bbb <- garchFit(formula=~arma(1,0)+aparch(1,1),data=nyk) aaa works well, but I need other characteristics of

please send me the GarchOxFit Interface thanks _________________________________________________________________ [[elided Hotmail spam]] [[alternative HTML version deleted]]

-Bugs and fixes reported to Diethelm Wuertz. -In the interim. To make the Ox functions part of the fSeries package work please follow the following steps. ------------------------------------------------- 1. Install R-project. 2. Install fSeries. 3. Download: http://www.core.ucl.ac.be/~laurent/G@RCH/site/xbdcons/garch42.zip (G@RCH package for Ox) 4. Download:

Dear List, This problem is more a statistic one than a R one. Any one can recommend me some references website or online paper on maximum likelihood estimation?I'm now working on that,while still doubt how to prove that the estimated parameters are normal distributed. Thanks for your time and help! Best, Ning

---------- Forwarded message ---------- From: ma yuchao <ma.yuchao@gmail.com> Date: 2006-5-20 ÉÏÎç4:01 Subject: hello, everyone To: R-help@stat.math.ethz.ch Hello, R people: I have a question in using fSeries package--the funciton garchFit and garchOxFit if adding a regression to the mean formula, how to estimate the model in R? using garchFit or garchOxFit? For example,

Hi R users, Currently I want to fit a FIGARCH model to a dataset. The only package that allow for it that I could find is fGarch. However it seems that the FIGARCH model class fitting of this package has been moved to Oxmetrics. I tried to install the old versions of it using 'tar.gz' files from CRAN archive http://cran.r-project.org/src/contrib/Archive/fGarch/

Dear R-help, I'm trying to load the fGarch package and keep running into problems with tcltk: After succesfully instaling fGarch (and dependencies) I get: >library(fGarch) Loading required package: fBasics Loading required package: fImport Loading required package: fSeries Loading required package: robustbase Loading required package: fCalendar Loading required package: MASS Loading

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.

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:

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

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

Dear list-member, I am currently developing a package with S4 classes. The NAMESPACE and DESCRIPTION is printed below. Within this package I have set a method "residuals" for two classes. In version 2.8.1 these two are reported whereas in R-Devel (2009-01-28 r47766). What have I missed? What has changed and how can I rectify the issue? Your help and pointers are welcome. For 2.8.1:

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] <-

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