Displaying 20 results from an estimated 7000 matches similar to: "Hello. PLEASE HELP"
2005 Nov 25
1
Use of nesting in lmer- error in numerical expression
Dear R users,
I am trying to fit a GLMM using lmer to a dataset where the brood identity
(LNRREIR) is nested within mothers identity. The reason for this is that
each mother can have several nests within each year and also between years.
I am running the following script (actually I have tried all different
combinations with LNRREIR and mother):
mod <- lmer(sr~z.hatchday +
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
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 =
2006 May 08
3
GARCH SIMULATION
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.
2009 Jun 15
2
GARCH:: False Convergence
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
>
2005 Nov 21
2
garch function in R
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.
2008 May 23
1
GARCH-like
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
2005 Jun 03
1
GARCH (1 , 1), Hill estimator of alpha, Pareto estimator
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"
2009 Aug 24
2
Number of CPU's
Any way to get access to the number of CPU's, optionally their type,
from within R? In linux I can just read /proc/cpuinfo but for
win/mac ?
Thanks!
H?vard
--
H?vard Rue
Department of Mathematical Sciences
Norwegian University of Science and Technology
N-7491 Trondheim, Norway
Voice: +47-7359-3533 URL : http://www.math.ntnu.no/~hrue
Fax : +47-7359-3524 Email: havard.rue
2008 Oct 26
4
odd behaviour of identical
given what ?identical says, i find the following odd:
x = 1:10
y = 1:10
all.equal(x,y)
[1] TRUE
identical(x,y)
[1] TRUE
y[11] = 11
y = y[1:10]
all.equal(x,y)
[1] TRUE
identical(x,y)
[1] FALSE
y
[1] 1 2 3 4 5 6 7 8 9 10
length(y)
[1] 10
looks like a bug.
platform i686-pc-linux-gnu
arch i686
os linux-gnu
system
2004 Nov 10
2
fSeries
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
1999 Oct 25
1
GARCH models available
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
1999 Oct 25
1
GARCH models available
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
2012 May 02
1
calibration of Garch models to historical data
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
2006 Jun 20
1
GARCH
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
2006 Jun 20
1
GARCH
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
2011 May 04
1
fGarch
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) +
2006 Nov 07
1
Comparison between GARCH and ARMA
Dear all R user,
Please forgive me if my problem is too simple.
Actually my problem is basically Statistical rather
directly R related. Suppose I have return series ret
with mean zero. And I want to fit a Garch(1,1)
on this.
my is r[t] = h[i]*z[t]
h[t] = w + alpha*r[t-1]^2 + beta*h[t-1]
I want to estimate the three parameters here;
the R syntax is as follows:
#
2006 Nov 20
1
how to forecast the GARCH volatility?
Dear All,
I have loaded package(tseries), but when I run
predict.garch(...) R tells me could not find function
"predict.garch", however ?predict.garch shows me
something. I am confused about this. How can I
forecast garch volatility?
I have tried:
predict(...,n.ahead=...),give me fitted value
predict(...,n),give me NA,NA
2011 Jun 07
2
About DCC-garch model...
Hi, everyone,
I currently run into a problem about DCC-Garch model. I use the package
cc-garch and the function dcc.estimation. One of the output of this function
is DCC matrix, which shows conditional correlation matrix at every time
period you gives. However, I cannot figue out how the function calculate the
conditional correlation matrix at the first time period, since there is no
data to be
2011 May 15
4
DCC-GARCH model
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And the 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 = "^gspc",start = "2005-01-07",end =