similar to: MGARCH estimation

Is there a package or function for multivariate garch model in R? I am having a hard time in locating one. Thanks for help in advance. -Young [[alternative HTML version deleted]]

Hi, I am a novice in R. I would like to use a package called "mgarch", but I have trouble installing it. It is not available on CRAN servers. I downloaded the tar.gz file online. (mgarch_0.00-1.tar.gz) I have tried to install it using the "Install Packages" module. I am not even sure if it is a binary or source package, or what it is, but neither seem to work when I use the

Dear aDVISOR, Hope I am not disturbing you. Can you tell me how I can perform Multivariate Garch analysis in R. Also please, it is my humble request let me know some resource materials on Multivariate Garch analysis itself. Sincerely yours, -- Arun Kumar Saha, M.Sc.[C.U.] S T A T I S T I C I A N [Analyst] Transgraph Consulting [www.transgraph.com] Hyderabad, INDIA Contact # Home:

Hi all i am facing a peculiar problem for data input using read.table which i never faced previously. i have a data file by name abnew.txt with two coloumns data as depicted below. A B 420 422 314 321 the txt file is created using the excel save as option. i issued the statement as > a <- read.table("abnew.txt", header=TRUE) > a X.??S 1 NA 2 2 3 2

Dear R-helpers, Is it possible to create a type of 'movie' in R based on the output of several figures (e.g., jpegs) via the plot() function. I obtained dynamic results with the plotting function and would like to save these as a movie (e.g., avi or other formats)? Regards, Jan _________________________________________________________________ Ir. Jan Verbesselt Research

Good day everyone,   I tried to find a multivariate GARCH package and failed to find one. Although when I searched R I found the following link which describes the package:   http://www.r-project.org/user-2006/Slides/Schmidbauer+Tunalioglu.pdf   can any one help me with this issue.   Thank you in advance [[alternative HTML version deleted]]

Hi, Can someone technically explain, why does it take so long with loops in R? Thanks, Vehbi Sinan Tunalioglu

Hi All, I am trying to install JGR GUI for R (windows xp) but facing the problem. The following error message is displayed when I click on JGR.exe "Cannot find Java/R Interface (JRI) library (jri.dll) Please make sure you start JGR by double clicking the JGR.exe program" I know this is R help forum, but trying to get help from experts who are using JGR. Any help or idea will be

Hi All I have these questions and request members expert view on this. a) I have a dataframe (df) with five factors (identity variables) and value (measured value). The id variables are Year, Country, Commodity, Attribute, Unit. Value is a value for each combination of this. I would like to get just the unique combination of Commodity, Attribute and Unit. I just need the unique factor

Dear all.. Can anybody help me with mgarchBEKK? After estimate bekk model, i want to check whether the residuals meet the required assumptions. Can i perform Portmanteau test, the ARCH-LM test, plots of the AC and PAC functions of the residuals? Can you give some example with the script in R? Please.. Thank You So Much [[alternative HTML version deleted]]

Dear All, I attempted to fit a DVEC and a BEKK multivariate GARCH model, but am wondering which package to use. 1. I tried to use "rmgarch" package in R, but I couldn't find the subroutines for DVEC and BEKK. 2. I tried to find "rmgarch" package of R, which is not located on the official R site. This is the latest version I can find, where the programs were

Hi everyone I am trying to estimate the optimal hedge variance ratio for cross hedging two commodities. the price levels are used (compared to price change and % price change) and used the OLS with dummy variable for estimating the co-efficients. the equation looks like this Y = B + B1*D1 + B2*X + B3*(X*D1) Where Y = Daily Cash market price D1 = Dummy variable taking value 1 for period Oct-Mar

Dear All, I have loaded package(tseries), but when I run predict.garch(...) R tells me could not find function "predict.garch", however ?predict.garch shows me something. I am confused about this. How can I forecast garch volatility? I have tried: predict(...,n.ahead=...),give me fitted value predict(...,n),give me NA,NA

Hi all, We followed some books and sample codes and did some EMM estimation, only to find it won't be able to generate forecast. This is because in the stochastic volatility models we are estimating, the volatilities are latent variables, and we want to forecast 1-step ahead or h-step ahead volatilities. So it is nice to have the system estimated, but we couldn't get it to forecast at

Dear R users, I am trying to use tseries' garch function in order to determine the volatility of a return series generated by quantmod. Here is the code that I am using: > library(quantmod) > getSymbols("AAPL") convert daily closing prices into continuous log returns > dret<-dailyReturn(AAPL,type='log') check to see that the autocorrelations decay >

Dear everyone, i`m a german economics student, writing my master´s thesis about "Multivariate Volatility Models". After having read about theoretical aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like to compare DCC-GARCH and DC-SV with help of an empirical application. I figuered out that one has to use MCMC-simulation-methods for that. Some days ago I

Hi, software that works flawless in every Wine version... but when i install other software... stops working. for example: VSTHost Double Precision works flawless on any Wine, any Linux, Any Kernel... but when i install Cubase LE 1.0.10, or Cubase LE4 or Syncrosoft eLicencer 5.x VSTHost stops working... uninstalled/removed the conflicting apps, rebooted... & Everything works ok again.

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 all R user, Please forgive me if my problem is too simple. Actually my problem is basically Statistical rather directly R related. Suppose I have return series ret with mean zero. And I want to fit a Garch(1,1) on this. my is r[t] = h[i]*z[t] h[t] = w + alpha*r[t-1]^2 + beta*h[t-1] I want to estimate the three parameters here; the R syntax is as follows: #

Hello, My problem is, that I have to build hundreds of GARCH models to obtain volatility forecasts. I would like to run a loop, that would build those forecasts for me. There is no problem, with writing only the results of the forecasts, but I'd like to have stored results of the models in some file, that I could check later, what are the models like, to be able to compare if I should use