similar to: forecast ARMA(1,1)/GARCH(1,1) using fGarch library

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 -- View this message in context:

hello everybody, I would like to fit a model to a times series (testing set) for out of sample predictions using garchFit(). I would like to keep the coefficients of ARMA/GARCH model fixed (as found by fitting the model to my training set). The arima fitting function has such an option for that (fixed=NULL) but the garchFit() doesnt. It is very important for me to keep the same coefficients

I use fGarch package to estimate AR(1)-ARCH(1) process for a vector of returns. Then, using the estimated parameters I want to simulate 10 000 sample paths where each path has the same length as the vector of returns. So the first line of the code is: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0))---- The only way I can think of generating 10 000

Greetings, Suppose I fit an fGarch model via garchFit function for a time series X. I'm wondering is there any easy way to apply the fitted model to a different time series Y to calculate conditional variances and standardized residuals? Thanks. -- View this message in context: http://r.789695.n4.nabble.com/Applying-previously-fitted-fGarch-model-tp3249585p3249585.html Sent from the R help

Dear all- Package /fGarch/ version 2100.78 in R version 2.8.1 (2008-12-22) running on linux 2.6.22.9-91.fc7 In trying to fit garch models in above environment. I am getting "reasonable" fitted coefficients, but the fitObject@fitted are all the same. This is true even for the help page example: library(fGarch) R> X.timeSeries = as.timeSeries(msft.dat) R> head( +

Hello, The function garchFit in the package fGarch allows for choosing a conditional distribution, one of which is the t-distribution. The function allows specification of the shape parameter of the distribution (equal to the degrees of freedom for the t-distribution), for which the default is set to 4. The function also includes an option "include.shape", which is "a logical flag

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] <-

Hi folks! After updating my packages my R seems to have completely crashed as will not start up - even after I installed 2.8.1 from 2.8.0. I get the following: Fatal error: unable to restore saved data in .Rdata Error in loadNamespeace(name): there is no package called fGarch But I do have a package called fGarch. After I hit ok, it crashes and exits. I cannot use any functionality at all.

Good day everyone, I fitted a GARCH model to a time series and R estimated the model and provide me with the estimates. However, when I tried to extract the fitted values from the estimated model I got the following error message: "Error in .local(object, ...) : object "fit" not found"   I used the following to extract the fitted values fitted_TASI <- fitted(garchFit(~

Hello I am trying to use predict from an arma-Garch model (arma(2, 2) + garch(1, 1)) and I am getting the following error: Error en arima(x = object@data, order = c(max(u, 1), 0, max(v, 1)), init = c(ar, : non-stationary AR part from CSS Does anybody know what can be the reason of this error? The model I have estimated is the following: Title: GARCH Modelling Call: garchFit(formula =

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

Hello. I am using fGarch to estimate the following model: Call: garchFit(formula = fmla, data = X[, i], trace = F) Mean and Variance Equation: data ~ arma(1, 1) + garch(1, 1) Conditional Distribution: norm Coefficient(s): mu ar1 ma1 omega alpha1 beta1 -0.94934 1.00000 -0.23211 54.06402 0.45709 0.61738 Std. Errors: based on Hessian Error Analysis:

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) +

Hi! I'm using the opus-tools package from the current Debian (it says it is 0.1.2). The output of opusinfo is strange: $ opusinfo demo01.opus Processing file "demo01.opus"... New logical stream (#1, serial: 0000456a): type opus Encoded with libopus 1.0.1-rc3 User comments section follows... ENCODER=opusenc from opus-tools 0.1.5 Opus stream 1: Pre-skip: 356 Playback

Hi, These are two problems I've never seen when I used xtable() before... R 1.9.1 for Windows XP, xtable version 1.2-3: > final.df Loci Chr Marker Position P.values Deviance DF 1 Idd5 1 D1Mit181 42.6 0.0011 103.21 78 2 Idd6/19/20 6 D6Mit374 66.7 0.0014 104.29 78 3 Idd13 2 D2Mit490 64.5 0.0025 97.83 78 4

Hello, Gene Cumm said on Thu, Oct 22, 2015 at 06:39:44PM -0400: >On Thu, Oct 22, 2015 at 1:56 PM, Bruno Cornec via Syslinux ><syslinux at zytor.com> wrote: > >> 3/ Using syslinux.efi in a FAT32 image (similar to the previous 2 >> confs) stored on a iso9660 media by genisoimage and its >> -eltorito-alt-boot -efi-boot $imagefile -no-emul-boot option doesn't

> Hello, > > Gene Cumm said on Thu, Oct 22, 2015 at 06:39:44PM -0400: > >On Thu, Oct 22, 2015 at 1:56 PM, Bruno Cornec via Syslinux > ><syslinux at zytor.com> wrote: > > > >> 3/ Using syslinux.efi in a FAT32 image (similar to the previous 2 > >> confs) stored on a iso9660 media by genisoimage and its > >> -eltorito-alt-boot -efi-boot

On Thu, Oct 22, 2015 at 1:56 PM, Bruno Cornec via Syslinux <syslinux at zytor.com> wrote: > 3/ Using syslinux.efi in a FAT32 image (similar to the previous 2 > confs) stored on a iso9660 media by genisoimage and its > -eltorito-alt-boot -efi-boot $imagefile -no-emul-boot option doesn't > work. I get a red screen with debug info (attached). However, I'm not >

Hi 2 all ! I have problems with concurrent filesystem actions on a ocfs2 filesystem which is mounted by 2 nodes. OS=RH5ES and OCFS2=1.2.6 F.e.: If I have a LV called testlv which is mounted on /mnt on both servers and I do a "dd if=/dev/zero of=/mnt/test.a bs=1024 count=1000000" on server 1 and do at the same time a du -hs /mnt/test.a it takes about 5 seconds for du -hs to execute: 270M