similar to: [Spam] Re: Problems with garch() function tseries package R 2.6.0

Hi all, I recently updated my to R 2.6.0 and tseries package ?tseries? version: 0.10-11. When i was using R Version 2.3.1 (2006-06-01) with tseries 'tseries' version: 0.10-7, the code > garch(dflnRCLC1) ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** Call: garch(x = dflnRCLC1) Coefficient(s): a0 a1 b1 4.985e+00 1.880e-01 6.210e-14 > worked very

Dear, I am having problem importing data from other packages or spreadsheet to R. The data file contains characters and numerics variables. r-help-request@r-project.org wrote: Send R-help mailing list submissions to r-help@r-project.org To subscribe or unsubscribe via the World Wide Web, visit https://stat.ethz.ch/mailman/listinfo/r-help or, via email, send a message with subject or

Dear all, I have just installed the new version of R 2.7.1 and when i first instaled some packages it asked me to create a personal directory. It installed the packages, but not the html help page (packages.html) The downloaded packages are in C:\Users\jamaj\AppData\Local\Temp\Rtmp4MTuXN\downloaded_packages updating HTML package descriptions Warning message: In file.create(f.tg) :

Hi, I had a quick question regarding the pred_garch function (as part of the tseries library, garch.c), and specifically: the function calculates the 'h' vector of conditional variances, h[n+1] if the data is genuine. I am very much a beginner, but from what I understand I would think that it is computed from the errors vector, not 'y' (which is the input to the function). Before

I was running some likelihood ratio tests (using the current version of tseries) and found a different value for the log-likelihood from what I was getting using other software. I've traced the problem to R's GARCH using the conditional standard deviations instead of the conditional variances. This amounts to a factor of 2 once logs are taken, and could easily be a case of bad

I am wondering how to run 'garch' function of 'tseries' package in R2.6.1. I installed R2.3.1 and R2.6.1 in my PC (Windows XP Home) and run a following simple GARCH function in both versions: >garch(dSP[1:300], order = c(1,1)) where 'dSP' is daily return series of a stock index. R2.6.1 can not finish calculation and also I can not stop the

Hi, I am trying to fit a GARCH(1,1) model to a financial timeseries using the 'garch' function in the tseries package. However the parameter estimates obtained sometimes match with those obtained using SAS or S-Plus (Finmetrics) and sometimes show a completely different result. I understand that this could be due to the way optimization of MLEs are done, however, I would appreciate any

Hello again! Is there a way to include a mean in the garch function in the library(tseries), please? I tried include.mean=T in the function statement but it didn't work thanks in advance! R Version 2.2.1 Windows Sincerely, Erin mailto: hodgess at gator.uhd.edu

Dear Sir, First of all Happy Holidays!,... I am writing to you because I am a bit confused about ARCH estimation. Is there a way to find what garch() exactly does, without the need of reading the source code (because I cannot understand it)? In Eviews (the results at the end) I am getting different results than in R (for those that have the program I do: Quick -> Estimage Equation ->

Dear Sirs, I want to plot a time series with lines, one for each variable. I have a dataset with dates, and the values. How can i plot? I could plot one variable using index plot, bu i want to put the labels on X axis. But i had two problems: 1) The plot function, when i try to plot(x,y), incorectly sort the date (on X axis). My dataset has the date in string format "%d/%m/%Y). If i try to

Rela??o de aprovados Mar Vermelho: ?gua Clara: ANA PAULA RODRIGUES DA SILVA, LUCAS ARAUJO GOMES FROTA, GABRIEL VICTOR BARROS FORTE DA SILVA, QUIT?RIA DA SILVA G?IS, JO?O CARLOS MOREIRA DE CARVALHO, DAYANA MARIA DE SOUSA TAVARES, MARIA JULIENE CORDEIRO, JO?O PAULO DA SILVA. TALITA FERNANDES GONCALVES, BRUNO RAMOS FERNANDES, LUIZ HENRIQUE ALVES DAMASCENO, IAGO DA SILVA NOBRE, RITA ANGELA DA SILVA.

Lista aprovados Jequi? da Praia: Tesouro: ANA CLEIDE PEREIRA DE VASCONCELOS, LUAN MARINHO DE SOUZA, FRANCISCO LEANDRO FIUSA DA SILVA, PEDRO HENRIQUE ARAUJO SANTIAGO, JO?O CARLOS MOREIRA DE CARVALHO, DANIEL DA CUNHA MAGALHAES, MARIA IVANI DE ARA?JO, JEANNIE PAULO DE SOUSA. SILVANA GALDINO FERREIRA, AUGUSTO BRUNO PEREIRA DOS SANTOS, LUCIANA ESTELITA LAFAYETTE RABELO, GRACY KELLY DE LIMA MORAIS,

Hi, I implemented a samba(3.0.14a-Debian) server here on my network. But i'm having problems with 2 stations. One is a win2k(profissional) and the other is a win 2k server (working like a station). When i tried join in a domain using the win2k(profissional) i receive the msg: unknown interface The strange is that it is happening only with this win2k station. I have others stations with

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msz De: Fern?ndez-L?pez, Ambito Iberoamericano, Paseo de la Castellana 223, Madrid. [1]InEnglish - [2]EnEspanol Caros amigos luso-brasileiros, ? de se perguntar se as "patrulhas ideol?gicas" esquerdistas estar?o impedindo que os ?ltimos artigos do ex preso pol?tico e escritor cubano Armando Valladares - que abordam delicados aspetos das rela??es entre o regime

I have not been successfull in downloading tseries package in the R in my macbook air. The message sent is:Error in dyn.load(file, DLLpath = DLLpath, ...) : imposs?vel carregar objeto compartilhado '/Library/Frameworks/ Do you have any clue?

Hello All: In the package "tseries" I observed a dependency with pacakge "mva". But, I can't find this package on CRAN. Is this package actually required and if so, where can I locate it? ANDREW P.S. I am using R 1.2.0 on linux mandrake 7.1 platform. P.P.S. the info on tseries follows from CRAn below: --------------------------------------------------------------------

There is a new version of tseries with an enhanced "get.hist.quote" available: * "get.hist.quote" now optionally returns a "zoo", "ts", or "its" object (thanks to Achim Zeileis) * New provider "oanda" is implemented which provides access to one of the largest foreign exchange databases * Some minor improvements, see the

There is a new version of tseries with an enhanced "get.hist.quote" available: * "get.hist.quote" now optionally returns a "zoo", "ts", or "its" object (thanks to Achim Zeileis) * New provider "oanda" is implemented which provides access to one of the largest foreign exchange databases * Some minor improvements, see the

I have a question regarding the adf.test command in the tseries library. I have a vector of time series observations (2265 daily log prices for the OEX to be exact). I also have this same data in first-differenced form. I want to test both vectors individually for staionarity with an Augmented Dickey-Fuller test. I noticed when I use the adf.test command from the tseries library, the general