similar to: rugarch package: VaRTest()

Dear R users, I am trying to generate a 3D surface plot given the inflator formula in the attached file. Now, I want to create a 3D plot showing how Delta changes with the values of Abs(B) and sigma. The other variables in the formula are constant. Delta is calculated daily therefore the subscript t which denotes the day. I have used different functions and different packages but I get either

I tested also with a clean git source. Something wrong with ole32. Code: -fPIC -Wall -pipe -fno-strict-aliasing -Wdeclaration-after-statement -Wempty-body -Wstrict-prototypes -Wtype-limits -Wwrite-strings -fno-omit-frame-pointer -Wpointer-arith -Wlogical-op -I/usr/include/freetype2 -g -O2 -U_FORTIFY_SOURCE -D_FORTIFY_SOURCE=0 -o tmarshal_i.o tmarshal_i.c

Is there a way to pass variables/arguments to the h extension ? for example : [default] exten => _1098933X.,1,NoOp(CARRIER TWT->TIM, EXTEN: ${EXTEN}}, SIPCALLID: ${SIPCALLID}, SIPDOMAIN: ${SIPDOMAIN}) exten => _1098933X.,2,SetVar(_PROVA="bla") [lot of stuff, agi, goto, tricks and magic that happens] exten => _1098933X.,10,Dial(${CHAN_DEST},,L(3600000:3599900)) <-

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

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:

My code: spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1), submodel = "Null", external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "norm", start.pars = list(),

Let me start with the code: library(quantmod) library(rugarch) getSymbols("SPY", from="1900-01-01") rets=na.trim(diff(log(Cl(SPY)))) tt = tail(rets["/2004-10-29"], 1000) spec = ugarchspec(variance.model=list(garchOrder=c(1,1)), mean.model=list(armaOrder=c(2,5)), distribution.model="sged") for(ii in 1:10) { ttFit = ugarchfit( spec=spec,

Hi guys, does anyone know if there is the possibility to fit a gamma distribution using ugarch?honestly i don't know if maybe is possible to fix some parameters that reduce ghyp or ged in a gamma distribution.. thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/gamma-distribution-in-rugarch-package-tp4637893.html Sent from the R help mailing list archive at

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

I am sorry to ask this group but the maintainer of this package did not leave an email address. Has anyone used or is using the 'rugarch' package with time-series data (ts)? I try to fit a GARCH model to my data using the following: > gf <- ugarchfit(data=l[["MEN"]]$series, spec=spec) and I get: Error in .extractdata(data) : rgarch-->error: class of

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 can't install rugarch package because installation of nloptr package fails . I use opensuse 12.3 # uname -a Linux candide 3.7.10-1.11-desktop #1 SMP PREEMPT Thu May 16 20:27:27 UTC 2013 (adf31bb) x86_64 x86_64 x86_64 GNU/Linux my gcc version is 4.8.1 I compiled and installed R 3.01 . then I tried to install rugarch package but it fails because it can't install depended package nloptr.

The Wine development release 1.6-rc4 is now available. What's new in this release (see below for details): - Bug fixes only, we are in code freeze. The source is available from the following locations: http://prdownloads.sourceforge.net/wine/wine-1.6-rc4.tar.bz2 http://mirrors.ibiblio.org/wine/source/1.6/wine-1.6-rc4.tar.bz2 Binary packages for various distributions will be available

Dear r-helper I am pleased to send you this email. I have the R 2.11.1 and R 2.15.1 versions but they dose't have GARCH models. May you please guide me in which version can i find GARCH models. Best. M.Izadi [[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

Well, I wake up this morning, and aussievoip isn't up. I ring godaddy, who _were_ hosting it, and they say that the machine's been compromised, and you can't have your data. Nyah Nyah. I spent 1 hour and 38 minutes on the phone to them, trying to convince them to let me somehow get access to it, but to no avail. I've reported it to the Australian Federal Police High-Tech Crime

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)"

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, I try to understand how the generalized hyperbolic distribution is standardized. One reference is the rugarch vignette, page 16-18: http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf I looked at the code of the dsgh function in the fBasics package: > dsgh function (x, zeta = 1, rho = 0, lambda = 1, log = FALSE) { if (length(zeta) == 3) {

Hey everybody, i am using the rugarch-package and its great! I have a pretty easy problem, but i just dont get it, so thanks if you can help me. Normally i use: / data(DATANAME) spec = ugarchspec() fit = ugarchfit(data = x[,1], spec = spec) fit slotNames(fit) names(fit at fit) coef(fit) infocriteria(fit) likelihood(fit) nyblom(fit) signbias(fit) head(as.data.frame(fit)) head(sigma(fit))