similar to: GARCH models available

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

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

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

Dear R-Users, are there any ARIMA/GARCH-packages/functions for R? Best regards, M. Fischer -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at

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]]

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

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

Fritz just put tseries_0.3-1 on CRAN. It should now be more compatible across different platforms than 0.3-0. Thanks to Brian Ripley, Karl Syring, and Dirk Eddelbuettel. Adrian -- Adrian Trapletti, Vienna University of Economics and Business Administration, Augasse 2-6, A-1090 Vienna, Austria Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708, Email: adrian.trapletti at wu-wien.ac.at

I'm analizing the Argentina stock market (merv) I download the data from yahoo library(tseries) Argentina <- get.hist.quote(instrument="^MERV","1996-10-08","2003-11-03", quote="Close") merv <- na.remove(log(Argentina)) I made the Augmented Dickey-Fuller test to analyse if merv have unit root: adf.test(merv,k=13) Dickey-Fuller = -1.4645,

Folks, I'm a bit puzzled by the fact that if I generate 100,000 standard normal variates using rnorm() and perform the Jarque-Bera on the resulting vector, I get p-values that vary drastically from run to run. Is this expected? Surely the p-val should be close to 1 for each test? Are 100,000 variates sufficient for this test? Or is it that rnorm() is not a robust random number generator?

Hello, I'm so confused why I can't run Jarque-Bera test on my data. I have 9968 observation and I want to run Jarque-Bera test on them, but no matter how hard I am trying I can't get it work. please let me know what should I do. Best, Kiana [[alternative HTML version deleted]]

Hi all, I used the function jarque.test (in the moments package) on my data set and I obtained something like this: Jarque-Bera Normality Test data: x JB = 4.8381, p-value = 0.089 alternative hypothesis: greater or Jarque-Bera Normality Test data: x JB = 2.6018, p-value = 0.2723 alternative hypothesis: greater I cannot understand this. Please, someone can help me? thank you

Hi everybody, I'm trying to fit a Garch(1,1) process to the DAX returns. My data consists of about 2300 10day-logreturns in chronologically descending order (see attachment). But if I use the garch function I get a very high alpha_1 and a quite low beta, which doesn't make that much sense. I think I am missing something, but have no idea what it might be. I'd appreciate it a lot

Hi all .. there is no doubt a simple answer to this, but it eludes me. In the first session below ( with jarque.bera.test) you will see that p.value prints with a name of X-squared . This is easily fixed by changing the source to assign a more appropriate name - no name is assigned in the source listing below (the original source code of jarque.bera.test() from tseries).. but what I

Hi! I got a loop where i print out the results of Jarque Bera tests, but I have to put, the p-values in a vector. Can you help me how to do it in an effective way and not just typing in the results to a vector? Thanks a lot, here is the code: for(i in 1:60){ print(jarque.bera.test(loghozamok[((20*(i-1))+1):(20*(i+11))]))}

Hello R-Users, The following questions are not R-technical, but more of general statistical nature. 1. NORMALITY I built a normal linear regression model and now I want to check for the residual normality assumption. If I check the distribution graphically and look at the descriptive characteristics (skewness and kurtosis are below 1), I would confirm that the residuals are normally

Dear all, i have the question about the using of Jarque-Bera Test by using R. The question is that I do not have in my package "ts" this test and can not obtain any information in the help-file. Could you help my? Where could I download the package and which one, to use the Jarque-Bera Test? Thank You, Susan --------------------------------- - New people, new

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

If I have data that I feed into shapio.test and jarque.bera.test yet they seem to disagree. What do I use for a decision? For my data set I have p.value of 0.05496421 returned from the shapiro.test and 0.882027 returned from the jarque.bera.test. I have included the data set below. Thank you. Kevin "Category","Period","Residual" "CHILD HATS, WIGS &