similar to: how to call sas in R

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

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

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 R guru, I am Saikat Sarkar working as a researcher of Economics in Tampere University, Finland. I am trying to estimate some Garch related tests with Bayesian analysis by R programme. I am not good in R but trying to survive. Anyway I have the coding but not working properly. I have tried to find the problem but failed. I am writing to all R gurus to help me out. Could you please look at

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",

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

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

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

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 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 R-users, I try to use "solve" to find the answer of this linear equation a=x*b where a is 2*1 matrix and b is 2*2 matrix.I would like to get x so I call y<-solve(a,b) but this one happen "a is 2*1 matrix" so what I should do . Thanks Luck

Hi there, I'm trying to fit a GJR-GARCH Model using fGarch. I wanted to try that by fitting an APARCH model with a fixed delta of 2 and a non-fixed gamma. So I was simply trying to use: spec <- garchFit(~aparch(1,1),data=garchSim(),delta=2) coef(spec) And sometimes, it's working like a charm and delta is indeed exactly 2 in the resulting coefficient vector. Frequently, though, the

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, i want to estimate a complex GARCH-model (see below). http://r.789695.n4.nabble.com/file/n4112396/GJR_Garch.png W stands for the Day of the Week Dummies. r stands for returns of stock market indices. I stands for the GJR-term. I need some help with three problems: 1.) implementation of the GJR-term in the variance equation 2.) compute robust covariance matrix

Good day Ma'am/Sir, I am Resa Mae R. Sangco a Master of Statistics student from the MSU- Iligan Institute of Technology located in Iligan City, Philippines. I am currently doing my thesis entitled ?Bayesian Analysis in GJR-GARCH (p,d) model with Student-t innovations". In finding my posterior distribution since it is hard to integrate, I use Markov Chain Monte Carlo simulation

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

Dear All, Sorry to bother I want to write a function in R using if Say I have a dataset x, if x[i]<0, then x[i]=x[i], if x[i]>0, then x[i]=0 for example, x=-3:3, then using the function, x becomes [-3,-2,-1,0,0,0,0] I write the codes as follows, gjr=function(x) {lena=length(x) for(i in 1:lenx) if (x[i]<0) return (x[i]) if (x[i]>0) return (0) x} but then, doing gjr(x? it only

hi all, Does anyone know which command to use for error function(erf)? Thanks

Dear R guru, I am Saikat Sarkar working as a researcher of Economics in Tampere University, Finland. I am trying to estimate some Garch related tests with Bayesian analysis by R programme. I am not good in R but trying to survive. Anyway I have the coding but not working properly. I have tried to find the problem but failed. I am writing to all R gurus to help me out. Could you please look at