similar to: garch warning

I am trying to forecast volatility 2 periods forward using a ARCH(1) model: predict(garch(fit2,order=c(0,1),n.ahead=2)) ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** Error in qr(com.hess$hess, ...) : unused argument(s) (n.ahead ...) What did I do wrong? Thank you. Best regards, Peter Arnold, CFA President PRA Investment Counsel, Inc. 704-341-8193 www.prainvestment.com

Dear R-users, I am wondering if anyone can tell me how Garch coefficients are calculated in R. What is algorithm for that? If anyone give me a detail desceiption I will be very grateful. Thanks and Regards, stat700004 thanks in advance --------------------------------- [[alternative HTML version deleted]]

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.

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 >

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

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

I'm having no luck getting GARCH parameter estimations. It seems simple enough, but I don't know what I'm doing. I'm a newbie both at R and GARCH models, so whatever is going wrong, it's probably very basic. Here's what I do: 1. I first load the tseries package with: library("tseries") 2. I then load the data with: g <-

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]]

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

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

Dear all, Can garch function fit also t-innovations or only Gaussian innovations? -- With kind regards -- Lepo pozdravljeni -- Gr??e (Gr?ezi) -- Gorazd Brumen ------------------------------- Mail 1: gbrumen at student.ethz.ch Mail 2: gorazd.brumen at fmf.uni-lj.si Tel.: +41 (0)1 63 34906 Homepage: valjhun.fmf.uni-lj.si/~brumen

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 --------------------------------- [[alternative HTML version

Dear all, I have noticed a little change in the behaviour of as.factor from R-2.2.1 to R-2.3.0, and can't find it in the NEWS. In R-2.3.0: > times <- 1:5 > class(times) <- "Date" > as.factor(times) [1] 1 2 3 4 5 Levels: 1 2 3 4 5 In R-2.2.1: > as.factor(times) [1] 1970-01-02 1970-01-03 1970-01-04 1970-01-05 1970-01-06 Levels: 1970-01-02 1970-01-03 1970-01-04

Dear all, I have noticed a little change in the behaviour of as.factor from R-2.2.1 to R-2.3.0, and can't find it in the NEWS. In R-2.3.0: > times <- 1:5 > class(times) <- "Date" > as.factor(times) [1] 1 2 3 4 5 Levels: 1 2 3 4 5 In R-2.2.1: > as.factor(times) [1] 1970-01-02 1970-01-03 1970-01-04 1970-01-05 1970-01-06 Levels: 1970-01-02 1970-01-03 1970-01-04

Dear R-Users, are there any ARIMA/GARCH-packages/functions for R? Best regards, M. Fischer -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at

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

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

Hello, I have a few questions concerning the DCC-GARCH model and its programming in R. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And the 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 = "^gspc",start = "2005-01-07",end =

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