similar to: Re: Package tseries: crash for Windows version (PR#2302)

Hi, I had a quick question regarding the pred_garch function (as part of the tseries library, garch.c), and specifically: the function calculates the 'h' vector of conditional variances, h[n+1] if the data is genuine. I am very much a beginner, but from what I understand I would think that it is computed from the errors vector, not 'y' (which is the input to the function). Before

Platform: Windows 98 R version: Version 1.6.1 (2002-11-01) Package 'tseries' version: 0.9-4 Built: R 1.6.0; Win32; Mon Oct 7 14:02:38 2002) (dependanted packages 'quadprog': Built: R 1.5.1; Win32; 2002-07-03 12:20:50) I've just upgraded to R 1.6.1. By typing library(tseries) example(garch) => I've got a crash with the following message: "RGUI a causé une

Platform: Windows 98 R version: Version 1.6.1 (2002-11-01) Package 'tseries' version: 0.9-4 Built: R 1.6.0; Win32; Mon Oct 7 14:02:38 2002) (dependanted packages 'quadprog': Built: R 1.5.1; Win32; 2002-07-03 12:20:50) I've just upgraded to R 1.6.1. By typing library(tseries) example(garch) => I've got a crash with the following message: "RGUI a causé une

Full_Name: Gang Liang Version: 1.4.1 OS: mandrake-8.2 Submission from: (NULL) (128.32.81.135) tseries version: 0.9-1 quadprog version: 1.4-4 mva version: 1.4.1 version: platform i686-pc-linux-gnu arch i686 os linux-gnu system i686, linux-gnu status major 1 minor 4.1 year 2002 month 01

Hi, What other information should i post? I now have the two versions on the same machine. With R 2.3.1 and tseries 0.10-7 it works fine. With R 2.6.0 and tseries 0.10-11 the function garch doesnt work. The test was made with the same data, in the same machine. The maintainer did not say anything yet. Regards, Jos? Augusto Jr. ---------- Cabe?alho original ----------- De: "Prof Brian

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

Ukech U. Kidi wrote: > dax<- diff(log(DAX_CAC$DAX[1:1865])) > m1<- garch(dax) > Error: couldn't find function "garch" > m1<- garch(dax[1:1865]) > Error: couldn't find function "garch" > m1<- garch(dax[1:1865]) I am sorry, but I forgot to change the addres to r-help in the reply. Well, I am not sure, wheere do you want to get

Hi, I am trying to fit a GARCH(1,1) model to a financial timeseries using the 'garch' function in the tseries package. However the parameter estimates obtained sometimes match with those obtained using SAS or S-Plus (Finmetrics) and sometimes show a completely different result. I understand that this could be due to the way optimization of MLEs are done, however, I would appreciate any

I am wondering how to run 'garch' function of 'tseries' package in R2.6.1. I installed R2.3.1 and R2.6.1 in my PC (Windows XP Home) and run a following simple GARCH function in both versions: >garch(dSP[1:300], order = c(1,1)) where 'dSP' is daily return series of a stock index. R2.6.1 can not finish calculation and also I can not stop the

Hi, I'm running R 2.4.1 on Fedora Core 6 and am unable to install the tseries package. I've resolved a few problems getting to this point, by running a yum update, installing the gcc-gfortran dependency, but now I'm stuck. Could someone please point me in the right direction? ========R install.packages output ======= ==================================

Hi all, I recently updated my to R 2.6.0 and tseries package ?tseries? version: 0.10-11. When i was using R Version 2.3.1 (2006-06-01) with tseries 'tseries' version: 0.10-7, the code > garch(dflnRCLC1) ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** Call: garch(x = dflnRCLC1) Coefficient(s): a0 a1 b1 4.985e+00 1.880e-01 6.210e-14 > worked very

> 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 *****

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

I upgraded to R-2.2.1 on two PPC G5 computers today. Further I want to work with the tseries package for the first time. As root with R CMD INSTALL tseries_0.10-0.tar.gz I get the following gcc-3.3 -bundle -flat_namespace -undefined suppress -L/usr/local/lib - o tseries.so arma.o bdstest.o boot.o dsumsl.o garch.o ppsum.o tsutils.o -framework vecLib -L/usr/local/lib/gcc/powerpc-apple-

Dear Sirs, I am trying to perform a garch analysis to some data time series.Therefore, I've downloaded the package "tseries", as the garch analysis is not available in the main R program.When I try to load the "tseries package" from the R-Console screen, the following message appears: local({pkg <- select.list(sort(.packages(all.available = TRUE))) + if(nchar(pkg))

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

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

Hello again! Is there a way to include a mean in the garch function in the library(tseries), please? I tried include.mean=T in the function statement but it didn't work thanks in advance! R Version 2.2.1 Windows Sincerely, Erin mailto: hodgess at gator.uhd.edu