similar to: ARCH-M, EGARCH

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, 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")

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

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]]

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

hi, I try to code garch-t(1,1),egach(1,1) and gjr(1,1) to estimate my data. How I can code these model with my data (e.g. garch code is y<-garch(x,order=c(1,1)) best regards, luck

HI, I need urgently garch and egarch models. After looking through the R mail archives I found http://www.egss.ulg.ac.be/garch/default.htm which is an Ox package. After downloading and installing it in R (Version 1.4.1 through the windows dialog "Packages") I received the following warning: install.packages("D:/benjamin/bartels/R/packages/garch22/garch_v22.zip",

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

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

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, 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

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)"

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

-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:

Dear R users, I hope this email finds you well, My name is Mariam and I am currently using R in my thesis project. I is about modeling investors' sentiment. My R skills are very modest and I am trying to solve a Garch in mean equation using the "rgarch" package. The main issue I am facing is with the mean equation, and I need a code for it or a lead on how to edit already existing

look at http://www.omegahat.org/download/index.html for my part, i'm working on Window 2000 and got lots of problem in SJava building due to C code compilation... Cheers Bruno -----Message d'origine----- De : anthony.ferrari at ensimag.imag.fr [mailto:ferraria at ensisun.imag.fr] Envoy?? : jeudi 22 avril 2004 15:15 ?? : rossini at u.washington.edu Cc : r-help at stat.math.ethz.ch;

Dear R users, I need to estimate an ARCH(1,0) model with t-residuals. To do this I use garchFit function from fGarch library. However, I get the following error message: Error in.garchInitParameters (formula.mean = formula.mean, formula.var = formula.var, ): object "alpha" not found I tried to estimate this model with different series, but I always get this error message. For example,

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