similar to: DCC-GARCH model and AR(1)-GARCH(1,1) regression 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 =

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 =

hi all, i am using a dcc model for my senior thesis, it looks at stock returns during times of market uncertainty. my current rfile is below. library(SparseM) library(quantreg) library(zoo) library(nortest) library(MASS) library(fEcofin) library(mvtnorm) library(ccgarch) library(stats) library(foreign) #dataset<-read.csv(file="xxxx",header=FALSE) attach(dataset);

Dear list members, I want to apply AR(1)-GARCH(1,1) model in order to conduct a test of structural shifts in conditional correlations which I previously estimated. To be more exact, first, I estimate the conditional correlations using the DCC-GARCH model. Now I want to check whether these correlations significantly increased after the crisis began. For that reason I have to use dummy variable

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

Hi, everyone, I currently run into a problem about DCC-Garch model. I use the package cc-garch and the function dcc.estimation. One of the output of this function is DCC matrix, which shows conditional correlation matrix at every time period you gives. However, I cannot figue out how the function calculate the conditional correlation matrix at the first time period, since there is no data to be

Dear everyone, i`m a german economics student, writing my master´s thesis about "Multivariate Volatility Models". After having read about theoretical aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like to compare DCC-GARCH and DC-SV with help of an empirical application. I figuered out that one has to use MCMC-simulation-methods for that. Some days ago I

Hello, I am trying to model a bivariate time series called 'residuals' as a dcc-garch model. I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) to estimate the parameters. No matter how I tried to define a, A and B, I always got the message "Error in constrOptim(theta = para, f = loglik.dcc2, gr = grad.dcc2, ui = resta, : initial value not

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 <-

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Hi, I've stumbled upon a case where I think gvn does a bad (wrong) optimization. It's a bit messy to debug though so I'm not sure if I should just write a PR about it a let someone who knows the code look at it instead. Anyway, for the bug to trigger I need to run the following passes in the same opt invocation: -sroa -instcombine -simplifycfg -instcombine -gvn The problem

Hello, Can you help me about the R function to estimate Vector Autoregressive (VAR) model allowing fot the GARCH effet : VAR-DCC-GARCH model please. <http://www.avg.com/email-signature?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail> Garanti sans virus. www.avg.com

Hello, What would be the best set of R functions to parse and transform a file? My file looks as shown below. I would like to plot this data and I need to parse it into a single data frame that sorts of "transposes the data" with the following structure: > df <- data.frame(n=c(1,1,2,2),iter=c(1,2,1,2),step=as.factor(c('Step 1', 'Step2', 'Step 1',

Yeah, there's a lot of things this could be. On the memdep side: Note that memdep is not actually properly updated in all cases by most passes that claim to not invalidate it (they don't invalidate dependent pointers, only pointers they directly touch). There's already a bug filed about this. So far we've only seen missed-opt, not wrong code from this. But it should be possible

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Help-Rs,   I'm doing some string manipulation in a file where I converted a string date in mm/dd/yyyy format and returned the date yyyy.   I've used regexpr (hat tip to Gabor G for a very nice earlier post on this function) in steps (I've un-nested the code and provided it and an example of what I did below.  My question is: is there a more efficient way to do this.  Specifically is

Dear R-help members, I am trying to plot annotate a filled contours plot (with filled.contour) with a grid of points. I have read ways of annotating it with individual points but not with grids in another matrix. Any ideas? Thank you very much. Dario ___________________________________ Dario Martin-Benito CIFOR-INIA Dpto. Sistemas y Recursos

Dear all, Is there a good way of doing the following conversion: [YYYY]-[MM]-[DD] [Time] [Day] [Name][Integer].[Extention] to become C:\test\[Name]\[YYYY]-[MM]-[DD] [Time] [Day]\[YYYY]-[MM]-[DD] [Time] [Day] [Name][Integer].[Extention] i.e. these 2009-04-10 1400 Fri Foo1.txt 2009-04-10 1400 Fri Universities2.txt 2009-04-10 1400 Fri Hitchhikers Guide To The Galaxy42.txt will become

Hi All, I,m trying to do a GARCH simulation in R 2.3.0 release in Windows XP. I've seen garchsim function but that is for garch (1,1) and ?garch gives an example for ARCH simulation. Can anyone help me how can i extend the help shown in ?garch to GARCH simulation? Please help me in this regard. Thanks, Sumanta Basak.

I large datset that includes subjects(ID), Dates and events that need to be counted.  Not every date includes an event, and I need to only count one event per 30days, per subject.  So in essence, I need to create a 30-day "black out" period during which time an event cannot be "counted" for each subject.  The reason is that a rule has been set up, whereby a subject can only be