Displaying 20 results from an estimated 4000 matches similar to: "GARCH"
2005 May 19
3
Simultaneous estimation of mean and garch eq'n
Is it possible to simultaneously estimate mean and GARCH parameters in R?
In other words, I would like to estimate the normal regression equation
Y = b X + u
and simultaneously do a garch process on the u's to correct the standard
errors.
I was thinking maybe something with systemfit(), but I can't quite come
up with it.
Thanks,
Tobias
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2005 Jul 08
2
Garch in a model with explanatory variables
Dear helpers,
does anyone know a function to fit a model with:
- y mean that is regressed on a set of explanatory variables
- y variace behaving as a garch or as a garch in mean
Thank you so much for your help,
Carlo
2005 Feb 22
1
Does R has the function for garch-t, gjr-garch, qgarch and egarch
Dear all,
I would like to know that R has the function for garch-t,gjr-
garch,qgarch and egarch.
Best Regards,
Luck
2007 Jul 19
1
Questions regarding R and fitting GARCH models
Dear all,
I've recently switched from EViews to R with RMetrics/fSeries (newest
version of july 10) for my analysis because of the much bigger
flexibility it offers. So far my experiences had been great -prior I
had already worked extensively with S-Plus so was already kind of
familiar with the language- until I got to the fSeries package.
My problem with the documentation of fSeries is that
2005 Dec 13
1
fSeries
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
2006 Aug 11
1
garch results is different other soft
Hi
I compared garch results in R with those give by other software and found
that their coefficients are different from each other. So I wondered that a
convention the garch funcion in R takes.
By testing the output, I noticed it seems that garch function in R by
default takes such a convention:
y(t) = c + sigma(t) where c=0 and sigma(t) = a(0) + a(1)*epsilon^2 +
b(1)*sigma(t-1)^2.
I also checked
2006 Aug 09
1
GARCH(1,1) optimization with R
Hello all,
Trying to implement GARCH(1,1) with ASP.NET <http://asp.net/> and
VB.NET<http://vb.net/>.
It involves optimization of a three-variate function with some constraints.
Learned from Wilmott.com <http://wilmott.com/> that R might be able to do it
but have no idea how. Could anyone help me out please. Thanks in advance.
Additional info:
1. Tried calling Excel Solver
2005 Sep 05
4
Dummy variables model
Hi, all!
Anyone know an easy way to specify the following model.
Panel dataset, with stock through time, by firm.
I want to run a model of y on a bunch of explanatory variables, and one
dummy for each firm, which is 1 for observations that come from firm i,
and 0 everywhere else. I have over 200 firms (and a factor variable that
contains a firm identifier).
Any easy way of going about
2007 Oct 31
1
problem with package fSeries
Helo,
please look at the log below: after loading the fSeries library, I can not use the log function. Is this a bug or what am I doing wrong?
Because of this, I'm unable to use the garch library.
thanks a lot for any help,
Balazs Torma
> log(1)
[1] 0
> require("fSeries")
Loading required package: fSeries
Loading required package: robustbase
Loading required package:
2006 Apr 26
2
garch in tseries
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
2004 Dec 02
6
dropping rows
Hi!
Sorry for asking a trivial questions, but I can't seem to figure this out.
I have a dataframe called master containing 30-odd variables.
In this dataframe, I have observations across these 30 variables from
1930 to 2003 (I've made a "year" variable). How can I drop all rows for
which the year is less than 1960? I'm assuming something with ifelse()
but I can't
2006 Jul 14
1
Help for updating package
I have a problem with garchFit fuction in fSeries package. I found the
following reply on one of the R list:
"GARCH-Modelling is not easy, and indeed for your dataset the default
"Sequential Quadratic Programming" solver doesn't converge. I observed
this also for some other time series. There is already an updated
version on the server,
2006 Apr 20
1
Extract AIC, BIC
Hi All,
How can extract AIC,BIC from a fitted Garch model?
--
SUMANTA BASAK.
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2006 Apr 04
3
Financial functions
In what R package(-s) can I find the entire set of financial functions that
you can find in MS-Excel such as PMT, PPMT, FV and IPMT?
Ciao
Vittorio
2005 Nov 21
2
garch function in R
I'm using R 2.1.1 and just successfully installed packages tseries, fseries.
I try to run example
http://www.maths.lth.se/help/R/.R/library/tseries/html/garch.html
But it shows
> x.arch <- garch(x, order = c(0,2)) # Fit ARCH(2)
Error: couldn't find function "garch"
Then I run command
> help.search("garch")
it shows the R information.
2005 Apr 11
1
TSeries GARCH Estimates accuracy
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
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =
2004 May 20
1
Windows versus Unix packages in CRAN (Was Re: Rmetrics)
Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
mkdir fBasics
unzip fBasics.zip -d fBasics
rm fBasics/src/*.o
R CMD check fBasics
and that took me about 3 minutes.
Now me, I just did
unzip -a fBasics_190.10051.zip
R CMD INSTALL fBasics
rm -rf fBasics
in a naive and trusting manner. It took me considerably longer than 3
minutes to learn that this was what I should do, and
2006 Jul 26
2
Codes; White's heteroscedasticity test and GARCH models
Hello,
I have just recently started using R and was wondering whether anybody had a code written for White's heteroscedasticity correction for standard errors.
Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean models for modelling regression residuals?
Thanks a lot in advance,
Spyros
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2008 May 23
1
GARCH-like
I need to change the code of Garch to the FCGARCH (a non-linear
multi-regime GARCH).
I don't know nothing about R.
I'd like to know how can I get the code of the garch in order to change it
and make the fit for the FC-GARCH.
Any non-linear code will be helpfull because if doesn't help in the
programming it helps in getting familiar with R.
Thank you
Renato
--
PhD Student Renato