Displaying 20 results from an estimated 1000 matches similar to: "garchFit (PR#10698)"
2008 Aug 18
1
another GARCH problem
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
2008 Dec 30
1
A mistake in garchFit()? {fGarch}
Hello,
I was using garchFit {fGarch} to fit some GARCH processes.
I noticed that the result contains "Log Likelihood" value (right above
"Description"), but when I use .. at fit$llh to retrieve Log Likelihood value,
the sign switched.
I am confused about which value I should choose to report...
Any help here?
Thanks a lot!
Ted
--
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2007 Jan 06
1
garchFit in R
Dear all,
I have problem here :
I'm using garchFit from fSeries package, here is part of the script :
> data <- read.table("d:/data.txt")
> a <- garchFit(~garch(1,1),ts(data))
I also attached the file here. In my experience, I got my R not responding.
I also tried with
> a <- garchFit(~garch(1,1),ts(data*10))
and it's worked.
I
2008 Aug 18
1
ARMA(0,2) & GARCH(1,1) - code & hessian
Hello R-list-members,
I'm trying to model ARMA(0,2) & GARCH(1,1) process using the code below, but according to my textbook, the estimated parameters are wrong. The MA-parameters should be negative. (I've got the same problem using garchFit()). Can anyone tell me what I'm doing wrong? And how can I calculate the hessian matrix?
Many thanks,
Desislava Kavrakova
Code:
2005 Dec 13
1
fSeries
I'm trying to use garchFit from fSeries, with Student or Skewed Student conditionnal distribution. Let's say that eps (vector) is my series of daily log-returns:
data(EuStockMarkets)
eps = diff(log(EuStockMarkets[,"CAC"]))
library(fSeries)
g = garchFit(series = eps, formula.var = ~garch(2,2), cond.dist = "dstd")
s = g at fit$series
All the coefficients are ok
2017 Nov 02
2
"prob" package alternative
The issue is fAsianOptions. Is there a version that works with the latest
version of R? If not, which version of it works with which version of R and
where can it be found? I tried several at the archive already.
Alternatively, is there another package that behaves similarly to prob?
On Wed, Nov 1, 2017 at 6:17 PM, David Winsemius <dwinsemius at comcast.net>
wrote:
>
> > On Nov
2009 Apr 29
1
arma model with garch errors
Dear R experts,
I am trying to estimate an ARMA 2,2 model with garch errors.
I used the following code on R 2.9.
#library
library(fGarch)
#data
data1<-ts(read.table("C:/Users/falcon/Desktop/Time
Series/exports/goods1.csv"), start=c(1992,1), frequency=12)
head(data1)
#garch
garchFit(formula.mean= ~arma(2,2),formula.var=~garch(1,1), data=data1)
but get this error:
>
2017 Nov 02
2
"prob" package alternative
Yes. That's the version I've been discussing that has non-zero exit status.
That situation is why CRAN retired the prob package. It's possible you
installed that library earlier in development and it's been "carried"
along. It no longer installs, now.
The problems with all of this seem to have started this month according to
the conversations. However, no one has
2008 May 07
2
Windows binary packages & R-Forge
Hi room,
There seems to be a problem with the Windows building machines of
R-Forge. All our packages with Fortran source code cannot be compiled
for Windows. The error in the log file is
make[3]: gfortran: Command not found
It seems that gfortran is not installed. Is there any plan to fix this
or am I doing something wrong on R-Forge?
thanks in advance for your advises.
regards,
Yohan
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2008 Apr 01
1
garch prediction
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
2017 Nov 02
2
"prob" package alternative
Yes, that is exactly what I was doing two days ago.
Warning in install.packages :
installation of package ?fAsianOptions_3010.79.tar.gz? had non-zero exit
status
Which is what a reading of the explanation for why "prob" was retired leads
one to expect. Do you have some other suggestion about how to get it to
work? I notice you're not using Windows which might have a relationship
2017 Nov 02
0
"prob" package alternative
> On Nov 2, 2017, at 11:15 AM, Tiby Kantrowitz <tlkantro at gmail.com> wrote:
>
> The issue is fAsianOptions. Is there a version that works with the latest version of R? If not, which version of it works with which version of R and where can it be found? I tried several at the archive already.
sessionInfo()
R version 3.4.2 Patched (2017-10-04 r73465)
Platform:
2017 Nov 02
2
"prob" package alternative
Rtools is not available for the current version of R.
What I'm looking for is an alternative package or how others have managed
to create workarounds.
On Thu, Nov 2, 2017 at 4:25 PM, David Winsemius <dwinsemius at comcast.net>
wrote:
>
> > On Nov 2, 2017, at 1:09 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote:
> >
> > Yes, that is exactly what I was doing
2017 Nov 02
0
"prob" package alternative
> On Nov 2, 2017, at 12:07 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote:
>
> Yes. That's the version I've been discussing that has non-zero exit status. That situation is why CRAN retired the prob package. It's possible you installed that library earlier in development and it's been "carried" along. It no longer installs, now.
>
> The problems
2006 Nov 22
2
problems with garchFit
Hi all,
I post it on both r-help and r-finance since I don't know where is most
appropriate for this topic. Sorry if it bothers you.
I did garch fitting on S&P500 monthly returns with garchFit from fSeries. I
got same coefficients from all cond.dist except normal. I thought that is
probabaly usual for the data. But when I play with it, I got another
question.
I plot skew normal with
2017 Nov 02
2
"prob" package alternative
Thanks. I found that, and installed it and got the same message. Here:
RTools version 3.4
install.packages("fAsianOptions_3010.tar.gz", dependencies=TRUE,
repos=NULL, type = "source")
Installing package into ?C:/Users/Tlk7/Documents/R/win-library/3.4? (as
?lib? is unspecified) Warning: invalid package 'fAsianOptions_3010.tar.gz'
Error: ERROR: no packages specified
2017 Nov 02
0
"prob" package alternative
> On Nov 2, 2017, at 1:09 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote:
>
> Yes, that is exactly what I was doing two days ago.
>
> Warning in install.packages :
> installation of package ?fAsianOptions_3010.79.tar.gz? had non-zero exit status
>
> Which is what a reading of the explanation for why "prob" was retired leads one to expect. Do you have
2006 Apr 26
1
garchFit from fSeries
Dear R People:
I'm trying to use the garchFit function from the library(fSeries)
However, R freezes every time that I use it.
Is anyone else having this problem, please?
Thanks in advance!
R Version 2.2.1 Windows.
Sincerely,
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgess at gator.uhd.edu
2010 Aug 15
2
fGarch: how to use garchFit() in loop?
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] <-
2006 Jul 06
1
Problem with garchFit function in fSeries
I used garchFit function to fit 1600 observations of EURO/USD 2-day returns
in GARCH(1,1) model.
As part of the summary I got warning message:
NaNs produced in: sqrt(diag(fit$cvar))
And didn't get any estimates for 3 params' std.error, t value or
probability:
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -0.004827 0.020141 -0.240 0.811
ar1 0.010311