similar to: About multivariate GARCH: DVEC and BEKK

I used "mgarch" and "mgarchBEKK" packages to esti,ate a BEKK?model ,but i cannot get the P-value of the coefficient ? how can I get P-value ,anyone can help me ? thanks -- View this message in context: http://r.789695.n4.nabble.com/BEKK-help-tp3674545p3674545.html Sent from the R help mailing list archive at Nabble.com.

Dear all.. Can anybody help me with mgarchBEKK? After estimate bekk model, i want to check whether the residuals meet the required assumptions. Can i perform Portmanteau test, the ARCH-LM test, plots of the AC and PAC functions of the residuals? Can you give some example with the script in R? Please.. Thank You So Much [[alternative HTML version deleted]]

Hi R, I have three queries regarding handling GARCH functions in R. Below I document the same: Unlike S-Plus, R doesn't handle Multivariate GARCH models. R has a package for BEKK GARCH model but not for DVEC GARCH models. The GARCH function in S-PLUS has the capability of fixing some model parameters at certain values to evaluate the fit of a particular model. But the same optionality is

Hi , Are there any multivariate GARCH package (e.g., BEKK) in R? I do see a few "projects" constructing multivariate GARCH package, but wonder if there is anyone that is ready for use. Thanks, Miao [[alternative HTML version deleted]]

Dear ALL, I use BEKK package to estimate Bivariate GARCH model. But when the results come out, there's no t-stat or p-value of the estimated coeffients. Does anyone know how to get the significance? Followings are the codes I input, >P1=data.frame(x,y) >y1=mvBEKK.est(P1) >mvBEKK.diag(y1) Anyhelp would be appreciated! Sincere, Zoe -- View this message in context:

Dear aDVISOR, Hope I am not disturbing you. Can you tell me how I can perform Multivariate Garch analysis in R. Also please, it is my humble request let me know some resource materials on Multivariate Garch analysis itself. Sincerely yours, -- Arun Kumar Saha, M.Sc.[C.U.] S T A T I S T I C I A N [Analyst] Transgraph Consulting [www.transgraph.com] Hyderabad, INDIA Contact # Home:

Dear all, I want to run the VECM BEKK model, but I cannot find the corresponding package to run this model. Anybody can help? Thanks a lot Ted -- View this message in context: http://n4.nabble.com/How-to-run-the-VECM-BEKK-model-in-R-tp1564555p1564555.html Sent from the R help mailing list archive at Nabble.com.

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 R-users Can the users let me know how to do MGARCH estimate (Bivariate GARCH) and volatility forecast for 2 variables in R. thanks and regards snvk

Hi, I am a novice in R. I would like to use a package called "mgarch", but I have trouble installing it. It is not available on CRAN servers. I downloaded the tar.gz file online. (mgarch_0.00-1.tar.gz) I have tried to install it using the "Install Packages" module. I am not even sure if it is a binary or source package, or what it is, but neither seem to work when I use the

Hi R users, Heard that I can't use multivariate GARCH model in R because R has only univariate GARCH models.... So, how can I run a multivariate GARCH model in R? Also, SPLUS has this utility...any ideas how can I use it in R? Thanks Shubha [[alternative HTML version deleted]]

Dear everyone, i`m a german economics student, writing my master´s thesis about "Multivariate Volatility Models". After having read about theoretical aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like to compare DCC-GARCH and DC-SV with help of an empirical application. I figuered out that one has to use MCMC-simulation-methods for that. Some days ago I

Good day everyone,   I tried to find a multivariate GARCH package and failed to find one. Although when I searched R I found the following link which describes the package:   http://www.r-project.org/user-2006/Slides/Schmidbauer+Tunalioglu.pdf   can any one help me with this issue.   Thank you in advance [[alternative HTML version deleted]]

Hi I'm having problems getting the "factorized" argument in solve.QP (part of the quadprog library) to work as expected. The helpfile states that when the factorized argument is set to TRUE, then the function requires the inverse of a square-root factor of the Hessian instead of the Hessian itself. That is, when factorized=TRUE, the Dmat argument should be a matrix R^(-1), such

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Hi, I'm using the package quadprog to solve the following quadratic programming problem. I want to minimize the function (b_1-b_2)^2+(b_3-b_4)^2 by the following constraints b_i, i=1,...,4: b_1+b_3=1 b_2+b_4=1 0.1<=b_1<=0.2 0.2<=b_2<=0.4 0.8<=b_3<=0.9 0.6<=b_4<=0.8 In my opinion the solution should be b_1=b_2=0.2 und b_3=b_4=0.8. Unfortunately R doesn't find

Dear list, I am trying to follow an example that estimates a 2x2 markov transition matrix across several periods from aggregate data using restricted least squares. I seem to be making headway using solve.QP(quadprog) as the unrestricted solution matches the example I am following, and I can specify simple equality and inequality constraints. However, I cannot correctly specify a constraint

(Warning: I'm not an R guy. I'm a Python guy trying to get the R-Python interface working again after some upgrades.) I'm trying to upgrade our numpy/rpy/matplotlib environment (Solaris 10/Intel, Python 2.4). In the process I found I needed to rebuild R (2.1.1) because it was compiled with gcc 3.3.2 and we have since migrated to gcc 3.4.1. I'm using this configure setup:

I am having some problems using Quadprog in R. I want to minimize the objective function : 200*P1-1/2*10*P1^2+100*P2-1/2*5*P2^2+160*P3-1/2*8*P3^2+50*P4-1/2*10*P4^2+50*P 5-1/2*20*P5^2+50*P6-1/2*10*P6^2, Subject to a set of constrains including not only the variables P1, P2, P3, P4, P5, P6, but also the variables X1, X2,X3,X4,X5,X6,X7,X8,X9. As the set of variables X's are not

Hi, We just spent half an afternoon figuring out why "jruby -S rake spec" didn''t generate any output at all (no warnings) on an edge rails app. We were seeing different behaviour on different boxes, and after a while figured out that it was related to a missing diff-lcs gem on one box. HTH, Stefan -- Bekk Open Source http://boss.bekk.no -------------- next part