Displaying 20 results from an estimated 500 matches similar to: "Install the rugarch-package"
2013 Nov 16
1
r documentation rugarch egarch
Hi,
I`m about to switch from STATA to R and have serious troubles to find proper
documentations on the internet.
Right now I try to find a proper documentation of the eGARCH model being
part of the rugarch package.
Neither here
http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
nor here
http://cran.r-project.org/web/packages/rugarch/rugarch.pdf
could
2012 Oct 22
1
Egarch (1,1) with Student t distribution using rugarch
Hi
I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value.
Following were the commands that I was using:
library(rugarch)
spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std")
fit=ugarchfit(data=b,spec=spec)
sigma(fit)
May I
2013 Jun 16
4
can't install rugarch and nloptr packages in R 3.01 opensuse linux
I can't install rugarch package because installation of nloptr package fails .
I use opensuse 12.3
# uname -a
Linux candide 3.7.10-1.11-desktop #1 SMP PREEMPT Thu May 16 20:27:27 UTC 2013 (adf31bb) x86_64 x86_64 x86_64 GNU/Linux
my gcc version is 4.8.1
I compiled and installed R 3.01 . then I tried to install rugarch package but it fails because it can't install depended package nloptr.
2011 Dec 06
1
rugarch package: is this forecast correct?
Let me start with the code:
library(quantmod)
library(rugarch)
getSymbols("SPY", from="1900-01-01")
rets=na.trim(diff(log(Cl(SPY))))
tt = tail(rets["/2004-10-29"], 1000)
spec = ugarchspec(variance.model=list(garchOrder=c(1,1)),
mean.model=list(armaOrder=c(2,5)), distribution.model="sged")
for(ii in 1:10)
{
ttFit = ugarchfit( spec=spec,
2017 Jul 29
1
rugarch package: VaRTest()
Dear all,
I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms.
Do I have to use positive values for VaR in the VaRTest() formula?
Thanks for your help.
[[alternative HTML version deleted]]
2012 Jul 26
1
gamma distribution in rugarch package
Hi guys,
does anyone know if there is the possibility to fit a gamma distribution
using ugarch?honestly i don't know if maybe is possible to fix some
parameters that reduce ghyp or ged in a gamma distribution..
thanks a lot
sara
--
View this message in context: http://r.789695.n4.nabble.com/gamma-distribution-in-rugarch-package-tp4637893.html
Sent from the R help mailing list archive at
2012 Sep 18
0
"rugarch" package
My code:
spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,
1), submodel = "Null", external.regressors = NULL, variance.targeting =
FALSE), mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm =
FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex =
FALSE), distribution.model = "norm", start.pars = list(),
2018 May 04
0
adding overall constraint in optim()
On Thu, May 3, 2018 at 2:03 PM, Michael Ashton
<m.ashton at enduringinvestments.com> wrote:
> Thanks Bert. But everyone on that forum wants to use finance tools rather than general optimization stuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-)
>
I'm very confused by these statements. Most of the "finance tools"
2018 May 06
1
adding overall constraint in optim()
Hi Michael,
A few comments
1. To add the constraint sum(wgt.vect=1) you would use the method of
Lagrange multipliers.
What this means is that in addition to the w_i (the components of the
weight variables) you would add an additional variable, call it lambda.
Then you would modify your optim.fun() function to add the term
lambda * (sum(wgt.vect - 1)
2. Are you sure that you have defined
2012 May 18
3
look at the underlying source code
hi
someone can show me how can i get the source code of a function. Is a S4
class or Method. (I'm not an expert in R environment)
Exactly, Function "ugarchsim" from library (rugarch).
I need to know (in detailed ) how the variance and mean ecuation of a
arma/garch process are calculated.
With other packages like "fGarch" i used to invoked the function debug ()
and allows
2011 Nov 14
0
rugarch data format?
I am sorry to ask this group but the maintainer of this package did not
leave an email address.
Has anyone used or is using the 'rugarch' package with time-series data
(ts)? I try to fit a GARCH model to my data using the following:
> gf <- ugarchfit(data=l[["MEN"]]$series, spec=spec)
and I get:
Error in .extractdata(data) :
rgarch-->error: class of
2018 May 03
2
adding overall constraint in optim()
Thanks Bert. But everyone on that forum wants to use finance tools rather than general optimization stuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-)
> On May 3, 2018, at 3:01 PM, Bert Gunter <bgunter.4567 at gmail.com> wrote:
>
> You can't -- at least as I read the docs for ?optim (but I'm pretty
> ignorant
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
--
View this message in context:
2009 Mar 10
6
Pseudo-random numbers between two numbers
I would like to generate pseudo-random numbers between two numbers using
R, up to a given distribution,
for instance, rnorm.
That is something like rnorm(HowMany,Min,Max,mean,sd) over
rnorm(HowMany,mean,sd).
I am wondering if
dnorm(runif(HowMany, Min, Max), mean, sd)
is good. Any idea? Thanks.
-james
2013 Jun 25
1
Correct scaling of axis in persp3d plot
Hi,
I want to format my axis in my persp3d plot.
With my data, which I attached I created a persp3d plot with the following code, which I summarized from different code snippets I found:
library(rugarch)library(rgl)library(fGarch)fd <-as.data.frame(modelfit,which ='density')color <-rgb(85,141,85,maxColorValue=255)x <-seq(-0.2,0.2,length=100)y <-c(1:2318)f
2006 Apr 15
1
Removing Rows/Records from a Table
I would like to selectively remove rows from a table.
I had hoped that I could create a table and
selectively add rows with something like
> NewTable<-table(nrow=100, ncol=4)
> NewTable[1,]<-OldTable[10,]
but that doesn't work. The former call gives
> NewTable
ncol
nrow 4
100 1
while the latter call gives a table the length of
OldTable. Making a matrix, m, with the
2010 Oct 28
1
Rsolnp examples
I'm interested in the Rsolnp package. For their primary function
"solnp", one example is given, and there is a reference to "unit
tests". Anyone know where these can be found? Also, Rsolnp is
used in a few other packages (e.g., depmixS4), but I cannot seem
to find source illustrating its call sequence, and the precise
definition of the functions passed.
Can anyone help?
2010 Dec 01
3
How to pass selection criteria in a function
Hi,
Suppose I have the following data
name score
Abel 88
Baker 54
Charlie 77
stored a table called myData.
I want to write a function that will create a table which is a subset of myData containing those have a score > 75.
I know I can do this with the following command:
subset(myData, score > 75)
But I would like to do this via a function, something like:
2011 Sep 20
1
Data
Hey everybody,
i am using the rugarch-package and its great!
I have a pretty easy problem, but i just dont get it, so thanks if you can
help me.
Normally i use:
/
data(DATANAME)
spec = ugarchspec()
fit = ugarchfit(data = x[,1], spec = spec)
fit
slotNames(fit)
names(fit at fit)
coef(fit)
infocriteria(fit)
likelihood(fit)
nyblom(fit)
signbias(fit)
head(as.data.frame(fit))
head(sigma(fit))
2006 Oct 22
1
disaggregating table
Hi all,
This should be easy, but I can't seem to figure it out.
I have a table like this named newtable
a1 a2 a3 a4 Cnts Score
1 1 0 0 4 3.28
1 0 1 1 2 2.63
I want the following:
a1 a2 a3 a4 Cnts Score
1 1 0 0 4 3.28
1 1 0 0 4 3.28
1 1 0 0 4 3.28
1 1 0 0