similar to: Re: R-help Digest V2 #236

R-help Digest wrote: > > Date: Tue, 28 Nov 2000 08:20:43 +0100 > From: "Muhammad Rashid Ahmed" <rahmed at julian.uwo.ca> > Subject: [R] Fitting of Garch Model in R [forwarded] > > This accidentally (;-) didn't go to the R-help mailing list .. > > - ---- > -- start of forwarded message ------- > > To: <maechler at stat.math.ethz.ch> >

R-help Digest wrote: > ------------------------------ > > Date: Thu, 07 Dec 2000 18:28:09 +0100 > From: Uwe Ligges <ligges at statistik.uni-dortmund.de> > Subject: Re: [R] Heteroskedasticity in R > > Vincent Leycuras wrote: > > > > Hi all, > > > > I just discovered R a couple of days ago and I must say it rocks. I've been > > looking

Dear colleagues, the tseries package is updated and should now work with R-1.2.0. best and merry Xmas Adrian -- Adrian Trapletti, Olsen & Associates Ltd., See- feldstrasse 233, CH-8008 Zürich, Switzerland Phone: +41 (1) 386 48 48 Fax: +41 (1) 422 22 82 E-mail: adrian@olsen.ch WWW: http://www.olsen.ch

plot(rnorm(100000),type="l") plots only about 7e4 lines while the same without type="l" works fine. Is this a feature or a bug or is this configurable? R : Copyright 2000, The R Development Core Team Version 1.1.1 (August 15, 2000) SunOS 5.5.1 Generic_103640-29 sun4u sparc SUNW,Ultra-1 Thanks Adrian -- Adrian Trapletti, Olsen & Associates Ltd., See- feldstrasse

> 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

I was running some likelihood ratio tests (using the current version of tseries) and found a different value for the log-likelihood from what I was getting using other software. I've traced the problem to R's GARCH using the conditional standard deviations instead of the conditional variances. This amounts to a factor of 2 once logs are taken, and could easily be a case of bad

Hi all, Just a random shot in the dark. Does anyone have/know of a function for the CDF of a generalized error dist? -- Elliot Williams (ewilliams at ucsd.edu) Economics Department, UC San Diego -------------- next part -------------- An embedded message was scrubbed... From: Elliot Williams <ewilliams at ucsd.edu> Subject: [R] Generalized Error Distribution (Exponential Power) CDF?

Hi All: Package TSERIES is stated to depend on MVA. However, there is no MVA package to be found under the list of package sources. Best wishes, ANDREW tseries: Package for time series analysis Package for time series analysis with emphasis on non-linear and non-stationary modelling Version: 0.7-6 Depends: ts, mva, quadprog Date: 2001-08-27 Author: Compiled by Adrian

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

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]]

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

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

Dear R Developers (I think in particular Brian) Especially for larger optimization problems, it would be nice to have an entry point for C/C++ code to the R optimizers (the ones which are called when using optim()), where the client just has to provide the functions fminfn() and fmingr() and calls directly, e.g., vmmin() (all from $RHOME/src/main/optim.c). Are there any plans for providing such

Hi, I'm not sure this is a bug, so I thought I'd bounce it off the help group first. I had a dataset which I was subsetting, and occasionally I get an empty subset. If I don't check for emptiness and go straight to a which.min call on the subset, the program gets a big negative number back. One-line Example: > which.max(NULL) [1] -2147483647 This caused an indexing

Fritz, I have slightly adapted (didn't work before) "tsboot" from the "boot" library to the current time series conventions of R. The following patch will do that. I suggest to apply this patch to the file "boot/R/bootfuns.q" of the "boot" library at CRAN. best Adrian --- bootfuns.orig.q Thu Dec 9 10:07:23 1999 +++ bootfuns.q Thu Dec 9 10:06:51 1999

Fritz, I have slightly adapted (didn't work before) "tsboot" from the "boot" library to the current time series conventions of R. The following patch will do that. I suggest to apply this patch to the file "boot/R/bootfuns.q" of the "boot" library at CRAN. best Adrian --- bootfuns.orig.q Thu Dec 9 10:07:23 1999 +++ bootfuns.q Thu Dec 9 10:06:51 1999

Hi all, How do people do non-linear constrained maximization in R? If in C, are there any packages people would recommend as being particularly easy to interface/hack to work with R? And if not, does anyone want me to? -- Elliot Williams (ewilliams at ucsd.edu) Economics Department, UC San Diego -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing

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

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