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Dear R-helpers, I need to read some data from output of garchFit in fGarch. my model is garch(1,1) and i want to read coefficients(omega,alpha,beta) and timeseries(x) and conditional SD(s). because i need them to use in other formula. for example :omega+x[1]+s[3] and maybe i have several simulation then i need a general way to read them, not to read with my eyes for example the quantity of

Hi, i am unable to install the rugarch package. More than that i do not even find this package in my list of possible packages. Its possible than the name has changed, or the package is not longer availiable? Is there a similar package avaliable for garch modelling except the fGarch what i am using now? many Thanks Roland -- View this message in context:

I have done the usual estimation of GARCH models, applied to my historical dataset (commodities futures) with a maximum likelihood function and selected the best model on the basis of information criteria such as Akaike and Bayes. Can somebody explain me please the calibration scheme for a GARCH model? I was not able to find a paper, dealing with exactly this algorithm for my case. I only

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

Dear list, Can one suggest me if there is an R function/package to estimate and simulate vector autoregressive (VAR) model allowing for the GARCH effect please? Thanks Mamush [[alternative HTML version deleted]]

hi someone can show me how can i get the source code of a function. Is a S4 class or Method. (I'm not an expert in R environment) Exactly, Function "ugarchsim" from library (rugarch). I need to know (in detailed ) how the variance and mean ecuation of a arma/garch process are calculated. With other packages like "fGarch" i used to invoked the function debug () and allows

Hey, I'm trying to implement a GARCH model with Johnson-Su innovations in order to simulate returns of financial asset. The model should look like this: r_t = alpha + lambda*sqrt(h_t) + sqrt(h_t)*epsilon_t h_t = alpha0 + alpha1*epsilon_(t-1)^2 + beta1 * h_(t-1). Alpha refers to a risk-free return, lambda to the risk-premium. I've implemented it like this: #specification of the model

I'm proposing to add something like this to the stats package : ---------------------------------------------------------- ### "The" sigma in lm/nls - "like" models: sigma <- function(object, ...) UseMethod("sigma") ## works whenever deviance(), nobs() and coef() do fine: sigma.default <- function (object, use.fallback=TRUE, ...)

Hello, I have a rather complex problem... I will have to explain everything in detail because I cannot solve it by myself...i just ran out of ideas. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And my first aim is to estimate coefficients of the DCC-GARCH model for them. This is how I do it: library(tseries) p1 = get.hist.quote(instrument =

Hi All, I,m trying to do a GARCH simulation in R 2.3.0 release in Windows XP. I've seen garchsim function but that is for garch (1,1) and ?garch gives an example for ARCH simulation. Can anyone help me how can i extend the help shown in ?garch to GARCH simulation? Please help me in this regard. Thanks, Sumanta Basak.

Dear R users, I am trying to use tseries' garch function in order to determine the volatility of a return series generated by quantmod. Here is the code that I am using: > library(quantmod) > getSymbols("AAPL") convert daily closing prices into continuous log returns > dret<-dailyReturn(AAPL,type='log') check to see that the autocorrelations decay >

I'm using R 2.1.1 and just successfully installed packages tseries, fseries. I try to run example http://www.maths.lth.se/help/R/.R/library/tseries/html/garch.html But it shows > x.arch <- garch(x, order = c(0,2)) # Fit ARCH(2) Error: couldn't find function "garch" Then I run command > help.search("garch") it shows the R information.

I need to change the code of Garch to the FCGARCH (a non-linear multi-regime GARCH). I don't know nothing about R. I'd like to know how can I get the code of the garch in order to change it and make the fit for the FC-GARCH. Any non-linear code will be helpfull because if doesn't help in the programming it helps in getting familiar with R. Thank you Renato -- PhD Student Renato

Dear R users, Could you please help me out. I am in trouble as I am unable to model graphs to explain the GARCH (1 , 1) model, the Hill estimator (of alpha), and the Pareto estimator. I just got introduce to R. I am working on a paper which must be worked from R. You look at the difficulty I had from the text below. [1] "DAX" "DAX_CAC" "DAX_CAC40"

Good morning everyone, I use for the first time the package fSeries and i try to run the example given by Diethelm Würtz. But when i run its example which is the following # # Example: # Model a GARCH time series process # # Description: # PART I: Estimate GARCH models of the following type ARCH(2) # and GARCH(1,1) with normal conditional distribution functions. # PART II: Simulate

tseries_0.3-0 at CRAN now contains the following new features: NelPlo Nelson-Plosser Macroeconomic Time Series garch Fit GARCH Models to Time Series get.hist.quote Download Historical Finance Data jarque.bera.test Jarque-Bera Test na.remove NA Handling Routines for Time Series garch contains a GARCH estimation routine together

tseries_0.3-0 at CRAN now contains the following new features: NelPlo Nelson-Plosser Macroeconomic Time Series garch Fit GARCH Models to Time Series get.hist.quote Download Historical Finance Data jarque.bera.test Jarque-Bera Test na.remove NA Handling Routines for Time Series garch contains a GARCH estimation routine together

Dear all R-users, I have a GARCH related query. Suppose I fit a GARCH(1,1) model on a dataframe dat >garch1 = garch(dat) >summary(garch1) Call: garch(x = dat) Model: GARCH(1,1) Residuals: Min 1Q Median 3Q Max -4.7278 -0.3240 0.0000 0.3107 12.3981 Coefficient(s): Estimate Std. Error t value Pr(>|t|) a0 1.212e-04 2.053e-06 59.05 <2e-16 *** a1

Dear all R-users, I have a GARCH related query. Suppose I fit a GARCH(1,1) model on a dataframe dat >garch1 = garch(dat) >summary(garch1) Call: garch(x = dat) Model: GARCH(1,1) Residuals: Min 1Q Median 3Q Max -4.7278 -0.3240 0.0000 0.3107 12.3981 Coefficient(s): Estimate Std. Error t value Pr(>|t|) a0 1.212e-04 2.053e-06 59.05 <2e-16 *** a1

Hi, I am attempting to fit a ARMA/GARCH regression model without success. ### ARIMA-GARCH model with regressor ### ### Time series data: A multivariate data set. cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])] cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1)) ### The following R scripts work: (summary(no.day.fitr <- garchFit(dq ~ arma(0,3) +