similar to: APARCH

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, I'm now using Ubuntu 10.10 and I want to use the garchoxfit function.It seems that I need to download the package. While after installing the package,I still can't use the garchoxfit function.What's the reason and how to fix that? Thanks for your time! Best, Ning

temp = "~aparch(" temp1 = paste(temp,1, sep = "") temp2 = paste(temp1,1, sep = ",") temp3 = paste(temp2, ")",sep = "") temp 3 is a character but I want to convert to formula object. How do I do this? -- View this message in context: http://r.789695.n4.nabble.com/how-to-convert-string-to-object-tp2999281p2999281.html Sent from the R help mailing

Dear R-helper, I wish to implement the APARCH model as described in the fSeries documentation. But I get the following: >library(fSeries) [...] > ?aparchFit No documentation for 'aparchFit' in specified packages and libraries: you could try 'help.search("aparchFit")' > help.search("aparchFit") No help files found with alias or concept or

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

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 people, I'm not able to have the component residuals, fitted.value ....from an aparchFit() estimation as explain in the Value of aparchFit Help, package fSeries. Could someone help me? Thanks in advance. Lisa

If I have a model line = lm(y~x1) and I want to use a for loop to change the number of explanatory variables, how would I do this? So for example I want to store the model objects in a list. model1 = lm(y~x1) model2 = lm(y~x1+x2) model3 = lm(y~x1+x2+x3) model4 = lm(y~x1+x2+x3+x4) model5 = lm(y~x1+x2+x3+x4+x5)... model10. model_function = function(x){ for(i in 1:x) { } If x =1, then the list

-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 R-Users, I'm searching for somebody who can support me or even likes to collaborate with me in setting up an R-package for "constrained maximim log-likelihood" parameter estimation. For example fitting the parameters of a MA(1)-APARCH(1,1) model for a time series of 17'000 points (e.g. the famous Ding-Granger-Engle mode) takes about 10 minutes with the existing

Hello R-list-members, I'm trying to model ARMA(0,2) & GARCH(1,1) process using the code below, but according to my textbook, the estimated parameters are wrong. The MA-parameters should be negative. (I've got the same problem using garchFit()). Can anyone tell me what I'm doing wrong? And how can I calculate the hessian matrix? Many thanks, Desislava Kavrakova Code:

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 <-

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 I'm having a problem setting up duplicate filtering on my mail server. I've set up the mail server with Postfix and Dovecot with virtual LDAP users, ClamAV virus scanning. The problem is that some of the virtual users use multiple e-mail addresses and postfix delivers emails sent to a user as many times as the user has email address entries in LDAP. I was wondering what would be

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

---------- 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 I have a dovecot/postfix mail server with virtual user and LDAP authentication but for some reason the sieve scripts in user's maildirs are not run. Here's my dovecot -n: # 2.0.13: /usr/local/etc/dovecot/dovecot.conf # OS: Linux 2.6.38-8-server x86_64 Ubuntu 11.04 auth_debug_passwords = yes auth_mechanisms = plain login auth_username_format = %Ln auth_verbose = yes base_dir =