similar to: run EGARCH package on REXCEl

Hi I want to implement Egarch (1,1) with t distribution model using RExcel and VBA. May I know the syntax. Following is the code that I 'm using. rinterface.RRun "spec=ugarchspec(variance.model=list(model=(eGARCH),garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model=(std))" rinterface.RRun "fit = ugarchfit(Data = b, spec = spec)"

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

Hallo, I am a student specializing statistics and econometrics in germany. I know there is a way to program EGARCH-processes (time series analyses) in R. If you are ackquainted with statistics already you know that there is nothing but a theorethical use of GARCH-Package in R. Not only because the distribution is gaussian, but also because the skewdness and leptokurthosis are not quite good

Hi, Can we run EGARCH in R. If yes, I would be grateful if someone could tell me the R codes for running EGARCH model. Thanks. [[alternative HTML version deleted]]

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

I've downloaded fSeries, but looks like it just has an interface to OX(TM) Garch Modeling Software,and that OX(TM) software package is not free. So where can I find an EGARCH function that is truely usable? Thanks a lot! [[alternative HTML version deleted]]

Hi, Could you please help me with EGARCH and GJR? Is it possible to use EGARCH and GJR in R? I have used below mentioned code for GARCH in R, but I never used EGARCH and GJR in R. Thank you in advance! daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T) DAX.kurs<-daten DAX.kurs<-ts(DAX.kurs,names="DAX-Kurs")

Dear all, I would like to know that R has the function for garch-t,gjr- garch,qgarch and egarch. Best Regards, Luck

HI, I need urgently garch and egarch models. After looking through the R mail archives I found http://www.egss.ulg.ac.be/garch/default.htm which is an Ox package. After downloading and installing it in R (Version 1.4.1 through the windows dialog "Packages") I received the following warning: install.packages("D:/benjamin/bartels/R/packages/garch22/garch_v22.zip",

Hi, I would like to know if there are R packages in order to fit ARIMA models with ARCH-M and EGARCH variance specifications. I know packages tseries, stats, nlme where I found functions : arima.sim, arima, garch. But it's not enough for me. I need to study ARCH-m and EGARCH. Thank you very much for your help. Best regards, Jerome.

I use R to generate data and I need to estimate the data by egarch (that doesn't have in R). So how I can call egarch from SAS in R. Regards, luck

Dear R-helpers, I was wondering if anyone has or knows someone who might have an implementation of algorithm for estimating garcht-t, egarch and gjr models. I try to use Fseries but I don't know how to code these models. Thanks a million in advance, Sincerely, Nongluck

Hello all, I would like to know how to call sas code in R. Since I simulate data in R and I need to use sas code (garch-t,egarch and gjr) to estimate it. I need to simulate 500 times with 2000 obs. How I can call that code in R.Also, how I can keep the parameters from the estimate. j=1:500 i=1:2000 sas code keep parameters. Best Appreciate, Luck

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

hi, I try to code garch-t(1,1),egach(1,1) and gjr(1,1) to estimate my data. How I can code these model with my data (e.g. garch code is y<-garch(x,order=c(1,1)) best regards, luck

Hello, I am trying to achieve a search functionality in the following manner i have an table called people which has first_name,last_name,etc... After the user form to search people is submitted i get the params hash as params[:persons]={"first_name"=> "%John%","last_name"=>"%Stevens%"} NOTE : I have changed the params hash to include the %. Now

Hi, I have used R rmgarch package to implement EGARCH ADCC model from which I can extract conditional covariance matrix. Now I would like to introduce positive and/or negative shocks to see the asymmetric response of covariance. I have come to know that impulse response function (IRF) or volatility IRF is not compatible for any asymmetric models, therefore, the only way to introduce shocks into

Buenos dias a todos. Tengo este Barchart con dos tipos de datos. Desembarcado y Muestreado. Como los datos de Desembarcado son mucho mayores que los de Muestreado, estos ultimos datos apenas si se aprecian en la grafica. Lo que se me ocurre es cambiar la escala de este eje. ¿alguien sabria como hacerlo? O alguna otra sugerencia claro. Muchisimas gracias a todos los que me estan ayudando Jose Luis

hi!! i am a newbie in ROR, I am getting this error i understand what the error says but don''y know why i am getting this error. ActiveRecord::StatementInvalid in UserController#new Mysql::Error: Table ''user.users'' doesn''t exist: SHOW FULL FIELDS FROM `users` def new @user = User.new end def edit my user controller file contains :- class

Hi I am using the ugarchspec function from the rgarch package to fit a mean variance model jointly. Following is the code I'm using: > spec = ugarchspec(variance.model = list(model="eGARCH", garchOrder=c(1,1)), mean.model = list(armaOrder=c(1,1))) On doing this, I get the following error: Error in ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1,