similar to: Counting the loop-round of a "for"-loop

Hi all, We followed some books and sample codes and did some EMM estimation, only to find it won't be able to generate forecast. This is because in the stochastic volatility models we are estimating, the volatilities are latent variables, and we want to forecast 1-step ahead or h-step ahead volatilities. So it is nice to have the system estimated, but we couldn't get it to forecast at

Hi all, Does anybody have the source code of stochastic volatility models in R or Matlab, for example, the Bayesian based or the simulation based SV estimations as described by Prof Eric Zivot in the following discussion? https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html -------------- I am wondering what is the current status of estimating stochastic vol models and what's

Hi, I am using the package "demography" from Rob Hyndman for the Lee-Carter-Model. It is an amazing powerful tool but I am struggling with one issue: *I want to compute different quintiles for the cumulative survival probability derived from the Lee-Carter-Forecast (e.g. the 50%-quintile, 75%-quintile and 99%-quintile) for the next 10 years. * I am sure the package possess this

Hi all, i'm trying to find a solver possibility analogous to the Excel Solver in R. Since i just started with R, I have only little knowledge. Can someone help me by solving the problem? I have the following 'starting position': z = rnorm(1,0,1) y <- function(x,z){2*x - 1 + z} I am looking for a certain "x" in such a way that the result of the function 'y'

Hi, dear R developers, I've got a vector of monthly volatilities and i would like to get the position of the highest volatility of the vector without computing a loop. Is there a function that could give me such a result ? a<-c(1,2,4,100,3) the highest value is the fourth of the vector. how can i get "4" without a loop going through the vector ? Thanks ! Benoit.

Hi, I am using the package "demography" from Rob Hyndman for the Lee-Carter-Model. It is an amazing powerful tool but I am struggling with one issue: I want to compute different percentiles of the survival probability distribution derived from the Lee-Carter-Forecast (e.g. the 50%tile, 60%tile, 75%tile and 99%tile) for each of the next 10 years. Is there any possibility to retrieve

Hi, I want to calculate the Value at Risk with using some distirbutions and a volatility model. I use the following data(http://uploadeasy.net/upload/cdm3n.rar) which are losses (negative returns) of a company of approx. the last 10 years. So I want to calculated the Value at Risk, this is nothing else than the quantile. Since I have losses I consider the right tail of the distribution. Consider

Hi, I am trying in R to indicate in which quintile a value of a variable is for every month of my data frame in this case based on volatility. For each month I want to know for each stock if it is in the most volatile quintile of if it is in one of the others. So far I have come up with the following function (see below). Unfortunately, the function only works in some cases and often gives the

Dear R helpers, Following is my R code where I am trying to calculate returns and then trying to create a data.frame. Since, I am not aware how many instruments I will be dealing so I have constructed a function. My R code is as follows - library(plyr) mydata <- data.frame(instru_name =

Hi all, This question is not really R related, rather on Statistics subject itself. Even I did not do those using R. however still I want to post it here, because my hope is I could get help from great statisticians who are the very active member of this group. My problem is to interpret Variance decomposition of VAR model in layman's language. Using EViews I got following : Variance

> How about this patch then? How about this one :) It passes alignment and volatility around with DestLoc. It's not finished because I noticed some bugs in how CopyAggregate and ZeroAggregate handle alignment (problem points marked with "QQ"). Also, I noticed potential problems with how we handle call arguments and return results (what if they are strangely aligned/volatile?),

Dear All, I need to sum a column from another dataframe based on the row values of one dataframe. I am stuck in a loop trying to accomplish it and at current speed it will take more than 80 hours to complete. Needless to say I am looking for a more elegant/quicker solution. Really need some help here. Here is the issue: I have a dataframe CALL (the dput of head is given below) which has close to

Hi I am working with this data: my data summary is: > summary(spi) open high low close volume Min. :4315 Min. :4365 Min. :4301 Min. :4352 Min. : 0 1st Qu.:4480 1st Qu.:4497 1st Qu.:4458 1st Qu.:4475 1st Qu.:11135 Median :4609 Median :4631 Median :4594 Median :4614 Median :14439 Mean :4620

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

Dear All, i want to use garch model in return of stock. and the data should presence volatility cluster (Heteroscedasticity). Do you know how to test volatility cluster (the presence of heteroscedasticity) in series data of stock return in R? Is it using Langrange Multiplier (LM) ARCH test? what package i should use? I really need the help. Thanks for the attention. Eko A P

Hi, > I don't get it Bill. llvm should be making memcpy with the right > alignment regardless of how Bar is formed. Changing the alignment of > bar papers over this problem, but we will still get improper alignment > for other cases. Also, DECL_USER_ALIGN isn't appropriate to tweak > here... the user isn't playing around with __attribute__((aligned)) the

Hello everybody, I need your help about the package SN and the skew student distribution. Il will be very grateful if I have the solution. I construct a stochastic model with a white noise not gaussian but following a skew student distribution. I fit the noise on monthly data to obtain the four parameters. The question is : how to annualize the parameters to use my model for simulate daily data

Dear "R-listers" I've been trying to figure out how to annotate charts in ggplot (ie add text to line charts, highlighted boxes etc). By and large, I can get close to what i want with base graphics, but would ideally like to use ggplot whenever possible (additionally, i would like to add text labels automatically to the chart). The code is below I suspect I need to use geom_rect,

Greetings, I am working on a platform for analysis automation. I need to run several Virtual Environments concurrently and record information about their behavior. I wrote some months ago about the capability of reading the Memory during the Environment's execution (in paused state). What do I need is the complete linear memory image, byte per byte, nothing special; I will give this output

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