similar to: Newbie problem with ox package

Hallo, I am a student specializing statistics and econometrics in germany. I know there is a way to program EGARCH-processes (time series analyses) in R. If you are ackquainted with statistics already you know that there is nothing but a theorethical use of GARCH-Package in R. Not only because the distribution is gaussian, but also because the skewdness and leptokurthosis are not quite good

Hi, I have limited experience on R and recently started using REXcel. Although I have been able to run both simple functions (like mean etc) and some complex ones (like Principal Component analysis, PCA) using RExcel, I am facing some problems while running EGARCH model. For this I have downloaded the 'betategarch' package for R to run EGARCH with student t dist. Although the package has

I've downloaded fSeries, but looks like it just has an interface to OX(TM) Garch Modeling Software,and that OX(TM) software package is not free. So where can I find an EGARCH function that is truely usable? Thanks a lot! [[alternative HTML version deleted]]

Dear all, I would like to know that R has the function for garch-t,gjr- garch,qgarch and egarch. Best Regards, Luck

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

Hi, Could you please help me with EGARCH and GJR? Is it possible to use EGARCH and GJR in R? I have used below mentioned code for GARCH in R, but I never used EGARCH and GJR in R. Thank you in advance! daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T) DAX.kurs<-daten DAX.kurs<-ts(DAX.kurs,names="DAX-Kurs")

I'm trying to use garchFit from fSeries, with Student or Skewed Student conditionnal distribution. Let's say that eps (vector) is my series of daily log-returns: data(EuStockMarkets) eps = diff(log(EuStockMarkets[,"CAC"])) library(fSeries) g = garchFit(series = eps, formula.var = ~garch(2,2), cond.dist = "dstd") s = g at fit$series All the coefficients are ok

Hello all, I would like to know how to call sas code in R. Since I simulate data in R and I need to use sas code (garch-t,egarch and gjr) to estimate it. I need to simulate 500 times with 2000 obs. How I can call that code in R.Also, how I can keep the parameters from the estimate. j=1:500 i=1:2000 sas code keep parameters. Best Appreciate, Luck

Dear R-helpers, I was wondering if anyone has or knows someone who might have an implementation of algorithm for estimating garcht-t, egarch and gjr models. I try to use Fseries but I don't know how to code these models. Thanks a million in advance, Sincerely, Nongluck

Hi, Can we run EGARCH in R. If yes, I would be grateful if someone could tell me the R codes for running EGARCH model. Thanks. [[alternative HTML version deleted]]

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

-Bugs and fixes reported to Diethelm Wuertz. -In the interim. To make the Ox functions part of the fSeries package work please follow the following steps. ------------------------------------------------- 1. Install R-project. 2. Install fSeries. 3. Download: http://www.core.ucl.ac.be/~laurent/G@RCH/site/xbdcons/garch42.zip (G@RCH package for Ox) 4. Download:

I use R to generate data and I need to estimate the data by egarch (that doesn't have in R). So how I can call egarch from SAS in R. Regards, luck

https://bugs.freedesktop.org/show_bug.cgi?id=100433 Bug ID: 100433 Summary: Kernel Oops on attempting to return from locked screen on gnome-session Product: Mesa Version: 17.0 Hardware: Other OS: All Status: NEW Severity: normal Priority: medium Component:

Hi, I would like to know if there are R packages in order to fit ARIMA models with ARCH-M and EGARCH variance specifications. I know packages tseries, stats, nlme where I found functions : arima.sim, arima, garch. But it's not enough for me. I need to study ARCH-m and EGARCH. Thank you very much for your help. Best regards, Jerome.

Hello Following some standard textbooks on ARMA(1,1)-GARCH(1,1) (e.g. Ruey Tsay's Analysis of Financial Time Series), I try to write an R program to estimate the key parameters of an ARMA(1,1)-GARCH(1,1) model for Intel's stock returns. For some random reason, I cannot decipher what is wrong with my R program. The R package fGarch already gives me the answer, but my customized function

Full_Name: Yan Alperovych Version: R 2.10.1, GUI 1.31 OS: Mac OS 10.6.2 Submission from: (NULL) (139.165.27.244) Hello everyone, I am not sure if I am at the right place to put this question, so don't hesitate to redirect me to the correct mailing list. My question is about the editor window under the R GUI on Mac OS 10.6.2. Before the upgrade to R 2.10.1 with GUI 1.31, I was able to call

Dear List, I'm now using Ubuntu 10.10 and I want to use the garchoxfit function.It seems that I need to download the package. While after installing the package,I still can't use the garchoxfit function.What's the reason and how to fix that? Thanks for your time! Best, Ning

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)"

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