similar to: Getting forecast values using DCC GARCH fit

Hi, I am completely new to GARCH models and trying to fit a multivariate time series model using DCC GARCH model and forecast it. The data looks like this: > head(datax) x vibration_x Speed 1 2017-05-16 17:53:00 -0.132 421.4189 2 2017-05-16 17:54:00 -0.296 1296.8882 3 2017-05-16 17:55:00 -0.572 0.0000 4 2017-05-16 17:56:00 -0.736 1254.2695 5

Hi, I have used R rmgarch package to implement EGARCH ADCC model from which I can extract conditional covariance matrix. Now I would like to introduce positive and/or negative shocks to see the asymmetric response of covariance. I have come to know that impulse response function (IRF) or volatility IRF is not compatible for any asymmetric models, therefore, the only way to introduce shocks into

Hi, I've fitted a GARCH(1,1) for the residuals of my time serie (X). X is an ARMA(1,1) process. Now I want to do a n-step forecast for X, knowing these processes. How can I do this? I know that there's a command: predict() for ARIMA processes and so on, but what about GARCH? I've got: arma=arima(x, order=c(1,0,1)) (...) garch11<-garch(residuals(x),order = c(1, 1))

Witam Anybody know how to deal with dcc irc sessions? I want to put them to lower priority queue, but i dont know how to track them, and then mark to use with fw filter. I tried iptables with -m helper --helper irc, but it seems to match only outgoing dcc sessions. But what about incoming? I''m shaping traffic from and to my small, NATed lan. -- Pozdrawiam Marcin

Hello, I am trying to model a bivariate time series called 'residuals' as a dcc-garch model. I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) to estimate the parameters. No matter how I tried to define a, A and B, I always got the message "Error in constrOptim(theta = para, f = loglik.dcc2, gr = grad.dcc2, ui = resta, : initial value not

Dear list members, I'm trying to use DCC-GARCH model to estimate the correlation. I have downloeaded ccgarch packeage but can't understand some argument in the formula. dcc.estimation(inia, iniA, iniB, ini.dcc, dvar, model, method="BFGS", gradient=1, message=1) which is on R.Help I understand others except "ini.dcc" which is described as "a vector of initial

-- View this message in context: http://r.789695.n4.nabble.com/Generalized-DCC-GARCH-ML-estimation-tp2245125p2245125.html Sent from the R help mailing list archive at Nabble.com.

https://bugzilla.netfilter.org/cgi-bin/bugzilla/show_bug.cgi?id=101 laforge@netfilter.org changed: What |Removed |Added ---------------------------------------------------------------------------- Severity|trivial |enhancement Status|NEW |ASSIGNED Priority|P2

https://bugzilla.netfilter.org/bugzilla/show_bug.cgi?id=101 netfilter@linuxace.com changed: What |Removed |Added ---------------------------------------------------------------------------- CC| |netfilter@linuxace.com ------- Additional Comments From netfilter@linuxace.com 2004-09-24 17:40 CEST ------- Actually,

./show_bug.cgi?id=101 kaber at trash.net changed: What |Removed |Added ---------------------------------------------------------------------------- Status|ASSIGNED |RESOLVED Resolution| |WONTFIX ------- Comment #3 from kaber at trash.net 2008-04-02 13:39 ------- I'd probably take a

Hello, I am trying to complete a response function analysis using the command dcc in the package 'bootRes'. Here is my code: DC<-read.table("Dalton.txt", header=T) climate<-read.table("climate.txt", header=T) dcc.DC<-dcc(DC, climate, method ="response", start = -4, end =9) My data is formatted correctly for this analysis, with 'DC' being a

Dear all, I hope someone can assist with soliving my problems with the DCC function in the BOOTRES package. Initially did my analyses in Dendroclim, but when I tried to repeat the analyses in dcc I encountered some problems, that I think I should report. First I encountered that that one variable (April precipitation) that was determined as significant in Dendroclim's response function

https://bugzilla.netfilter.org/bugzilla/show_bug.cgi?id=440 Summary: Space in filename causes Forged DCC command from x.x.x.x: 0.0.0.0:0 Product: netfilter/iptables Version: linux-2.6.x Platform: All OS/Version: All Status: NEW Severity: normal Priority: P2 Component: NAT

Hi, I set up DCC on CentOS 5 with Dual Sendmail - Amavisd-new and and Spam assassin. I installed DCC from AT rpms. pls see below for installed DCC rpm. [root at mailgw ~]# rpm -qa |grep DCC DCC-1.3.50-16.0.el5 Then, I configured in Deamon mode. I did below steps. [root at mailgw ~]# yum install DCC then, [root at mailgw ~]# cdcc "delete 127.0.0.1" [root at mailgw ~]# cdcc

Hi! Already searched for it and asked in IRC channel but all replies talk about ip_conntrack_irc and ip_nat_irc. I have a rule in 'NEW' section of 'shorewall/rules' to irc: ACCEPT fw net tcp 6667 #IRC and 'lsmod|grep irc' shows: ip_nat_irc 3648 0 ip_nat 22572 8 [...] ip_conntrack_irc

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

Hi, I want to install dcc on CentOS 4.4 as I am ruunig Dual-Sendmail with amavisd-new. I am looking for DCC RPM pkg. I searchrd bit I could not find any RPM pkg. Pls help me to find DCC RPM pkg. Have you installed DCC on CentOS 4.4. then Pls guide me. -- Thank you Indunil Jayasooriya -------------- next part -------------- An HTML attachment was scrubbed... URL:

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 =

https://bugzilla.netfilter.org/bugzilla/show_bug.cgi?id=440 laforge@netfilter.org changed: What |Removed |Added ---------------------------------------------------------------------------- Status|NEW |ASSIGNED ------- Additional Comments From laforge@netfilter.org 2006-02-09 15:51 MET ------- In the DCC Specifcication

hi all, i am using a dcc model for my senior thesis, it looks at stock returns during times of market uncertainty. my current rfile is below. library(SparseM) library(quantreg) library(zoo) library(nortest) library(MASS) library(fEcofin) library(mvtnorm) library(ccgarch) library(stats) library(foreign) #dataset<-read.csv(file="xxxx",header=FALSE) attach(dataset);