similar to: tseries contains a class for irregularly spaced time series

> Subject: [R] Question on running tseries::garch on Mac OSX > Date: Sat, 18 Jan 2003 15:58:50 -0800 > From: Nicholas Waltner <nwaltner at attbi.com> > To: <R-help at stat.math.ethz.ch> > > Hello, > > When I run the garch examples, I get the following output: > > > dax.garch <- garch(dax) > > ***** ESTIMATION WITH ANALYTICAL GRADIENT *****

Norbert Klink wrote: > Hi! > > I would like to use your tseries GARCH functionality in conjuction with > S-Plus 6 under Windows. Unfortunately, in order to make DLLs usable for > S-Plus it requires you to generate a so-called "S-Plus Chapter DLL", which > carries some S-Plus specific overhead. Loading your DLLs as they are > wouldn't work. Trying to compile the

> Subject: [R] LRT in arima models > Date: Mon, 17 Feb 2003 11:53:04 +0100 > From: "vito muggeo" <vito.muggeo at giustizia.it> > To: <r-help at stat.math.ethz.ch> > > Dear all, > > For some reason I'm evaluating the size of the LRT testing for the effect of > some explanatory variable in arima models. > I performed three different simulations

I make quite a lot of use of irregular time-series, and had already spent a bit of time writing an 'its' class when the 'irts' class was released via the package 'tseries'. I have experimented with the 'irts' class, and have some practical issues with its use. In some applications of irregular time-series (in my case these are financial and econometric) there are

Hello Alexander I doubt that such an analyis is very useful as the data is not sampled synchronously (equity close in the US for ^gspc and even that is not always at the same time, some average price from Oanda data). Also fx data from others sources as suggested in another mail on this list would not really help with this unless it is really sampled at exactly the same times as the equity

Hi ALL: I am trying to use get.help.quote from library(tseries). I tried to run the example from help(get.hist.quote) but R complained. Here is the command I used and the response: ibm <- get.hist.quote(instrument = "ibm", start = "1998-01-01") trying URL

-------- Original Message -------- Subject: [R] Re: tseries Package for R Date: Mon, 27 Sep 2004 23:56:34 -0800 From: Martin Renner <martin.renner at stonebow.otago.ac.nz> To: Adrian Trapletti <a.trapletti at bluewin.ch> References: <61CBB4C9-10C7-11D9-A624-000D932E990C at comcast.net> <4158F5B6.3020103 at bluewin.ch> see http://cran.stat.ucla.edu/bin/macosx/ and

Ok I made Jarque-Bera test to the residuals (merv.reg$residual) library(tseries) jarque.bera.test(merv.reg$residual) X-squared = 1772.369, df = 2, p-value = < 2.2e-16 And I reject the null hypotesis (H0: merv.reg$residual are normally distributed) So I know that: 1 - merv.reg$residual aren't independently distributed (Box-Ljung test) 2 - merv.reg$residual aren't indentically

For Windows users, some instructions how to use R 4.0.0 with Intel MKL: https://linkedin.com/pulse/r-400-intel-mkl-windows-adrian-trapletti Best Regards Adrian Adrian Trapletti Steinstrasse 9b, 8610 Uster, Switzerland P +41 44 994 56 30 | M +41 79 103 71 31 adrian at trapletti.org | www.trapletti.org

For Windows users, some instructions how to use R 4.0.0 with Intel MKL: https://linkedin.com/pulse/r-400-intel-mkl-windows-adrian-trapletti Best Regards Adrian Adrian Trapletti Steinstrasse 9b, 8610 Uster, Switzerland P +41 44 994 56 30 | M +41 79 103 71 31 adrian at trapletti.org | www.trapletti.org

Dear All, Are there any plans around that "R CMD INSTALL some_package_containing_java_source code" supports Java source code compiling in future versions of R similar to compiling C/C++ and/or Fortran sources in the src directory? Best regards Adrian -- Dr. Adrian Trapletti Steinstrasse 9b CH-8610 Uster Switzerland Phone : +41 (0) 44 9945630 Mobile : +41 (0) 79 1037131 Email :

Hello, I am having a problem with the get.hist.quote command (tseries library) in the Windows version. This problem is not happening is the Linux version (Mandrake 8.2). Attached is the error message, for an example included in the help file. Also the R.Version() details is attached. Please, do you know if there is a workaround ? Thanks, Carlos. ++++++++++++++++++++++++ ERROR MESSAGE

Hi,I try to calcualte AIC or Loglik to GARCH model,But the Packege Tseries do not deal with them.How can I calculate AIC or Loglike to GARCH Model By Packege Tseries? Thanks. ____________________________________________________ Free Internet Access NOW! In Alexandria, Ismaileya, Suez, Portsaid, Hurgadha, Sharm Banha, Shebin El-Kom, Damietta, Tanta, Zagazig, Mansoura, Damanhour, Assyout, Qena

R-guRus , ARMA function in tseries, seems to be calculating the AR coeff 's as coef <- lm(xx[,1]~xx[,lag$ar+1])$coef [*snipped* from around line 77,] I'd like to modify this model with another term somewhat in these lines lm(xx[,1] ~xx[,lag$ar+1]+mvgsignal)$coef where mvgsignal is a moving average signal based on some indicators, the question is could i simply hack into

Hello all, I would like how to modelized a time serie with AR-ARCH process. It can be used arma and garch functions in tseries package for build ar process or a garch process, but how can it be modelized a ar-garch model ? Thanks [[alternative HTML version deleted]]

Simon, Java is still one of the most popular languages out there, in particular in large organizations. See e.g. https://www.tiobe.com/tiobe-index/ . However, there has been a lot of confusion because of Oracle's licencing change in 2019. But the good news is, there are more alternatives than ever. See e.g.

Anyone know if there's an R package somewhere that supports estimation of a linear regression model with GARCH error process? There's a garch command in the tseries package, but unless I'm missing something it is restricted to the univariate case, i.e. you can fit a GARCH model to a single time-series but not estimate a model with GARCH errors. -- Allin Cottrell Department of

Dear all, Can garch function fit also t-innovations or only Gaussian innovations? -- With kind regards -- Lepo pozdravljeni -- Gr??e (Gr?ezi) -- Gorazd Brumen ------------------------------- Mail 1: gbrumen at student.ethz.ch Mail 2: gorazd.brumen at fmf.uni-lj.si Tel.: +41 (0)1 63 34906 Homepage: valjhun.fmf.uni-lj.si/~brumen

Hi all, I've got some problems with irts objects, one of which could be a bug: 1) Read a table with several columns from Postgres and the first column is Timestamp with timezone (this is OK). An extract is: raincida$ts: [2039] "25/03/2000 22:00:00 UTC" "25/03/2000 23:00:00 UTC" [2041] "26/03/2000 00:00:00 UTC" "26/03/2000 01:00:00 UTC" [2043]

Follow the example in tseries, we can simulated a GARCH(0,2), n <- 1100 a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients e <- rnorm(n) x <- double(n) x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3]))) for(i in 3:n) # Generate ARCH(2) process { x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2) } x <- ts(x[101:1100]) and x is a GARCH(0,2). But, I would like to know how