similar to: GARCH SIMULATION

Hi All, How can extract AIC,BIC from a fitted Garch model? -- SUMANTA BASAK. [[alternative HTML version deleted]]

Hi All, I'm running garch models for different combinations, like (1,1),(1,2) etc. in a for loop. But, when i'm running it, R is showing a text "***** ESTIMATION WITH ANALYTICAL GRADIENT ***** ". How can delete it? Any options for this? -- SUMANTA BASAK. [[alternative HTML version deleted]]

hello, In my time series data, I was able to successfully fit its ARIMA model (Box-Jenkins) and its GARCH model and estimate their parameters. I was also able to forecast future values of the time series based on my fitted ARIMA model using the predict() function call. However, I'm not sure what is the correct function command to call in order to forecast future values of my time series

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

Hi all R-Experts, I'm facing one problem in yahoo data downloading. I'm suing Windows XP, R 2.2.0, and i'm using yahoo.get.hist.quote function to download data. I need 500 companies of S&P index daily 'closing price' data for last ten years. My questions are: 1) I have all the ticker names of S&P 500 companies in a .csv format. I'm reading those names in R and

Hi All, Currently I'm working in FIGARCH process [Fractionally Integrated Generalized Autoregressive Conditional Heteroscedasticity]. I've already got the codes to do the process in S-Plus. Can anyone help me to do it in R? Thanks, SUMANTA BASAK. ------------------------------------------------------------------------------------------------------------------- This e-mail may

Good morning everyone, I use for the first time the package fSeries and i try to run the example given by Diethelm Würtz. But when i run its example which is the following # # Example: # Model a GARCH time series process # # Description: # PART I: Estimate GARCH models of the following type ARCH(2) # and GARCH(1,1) with normal conditional distribution functions. # PART II: Simulate

Hi All, I have a (331*12) matrix. I wan t to braek it into 28 parts each window having 12 rows, so that each matrix become (12*12) matrix. How can i do this. Thanks, Sumanta. --------------------------------- Send instant messages to your online friends - NOW [[alternative HTML version deleted]]

Hi All, Can you please tell me if i write a function, and want to return certain object, can "R" work on it? I know this works in S-Plus. function(x) { ....... a<-...... reaturn(a) } Does this work in "R"? Thanks, Sumanta. --------------------------------- What makes Sachin India's highest paid sports celebrity?, Share your knowledge on Yahoo! India Answers

Dear expeRts, How can I specify the order p,q of a GARCH(p,q) model within a loop? Here's a minimal example showing that an "Formula and data units do not match"-error appears: library(fGarch) spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4))) data <- garchSim(spec, n = 100) x <- list() for(q in 1:3){ print(q) x[q] <-

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Hi All, I have a function like this: windowlength<-function(x) { mat <- matrix(rnorm(331*12),331,12) z <- rep(seq(0,331,by=11)+1, each=2) zz <- z[-c(1,length(z))] ind <- as.data.frame(matrix(zz, nr=2)) lapply(ind, function(x) mat[x[1]:x[2],]) cat("For",x/4,"month i.e",x,"week, number of windows is = ",length(ind),"\n")

Hi R-Experts, How can I show all the relevant measures like mean, median, min. value, max. value, outlier in a single boxplot diagram? Suppose I have a data set c(2,4,5,7,12,14,15,13,8,5,23,98,11) Sumanta Basak. [[alternative HTML version deleted]]

Hello I want to predict the future values of time series with Garch When I specified my model like this: library(fGarch) ret <- diff(log(x))*100 fit = garchFit(~arma(1,0,0)+garch(1, 1), data =ret) predict(fit, n.ahead = 10) meanForecast meanError standardDeviation 1 0.01371299 0.03086350 0.03305819 2 0.01211893 0.03094519 0.03350248

Hi R-Experts, Can anyone tell me how Bloomberg data can be directly downloaded to R? Is there any package? Sumanta Basak. ------------------------------------------------------------------------------------------------------------------- This e-mail may contain confidential and/or privileged infor...{{dropped}}

Greetings, I am using fGarch package to estimate and simulate GARCH models. What I would like to do is to perform Monte Carlo simulation. Unfortunately I cannot figure how to modify the code to achieve this. I use the following code to run a single simulation: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0)) sim<-garchSim(spec,

Hi R-Experts, I have a vector of length 72. I want to break it into 12 parts and want to take standerd deviation of each group. Please help me in this regard. Thanks, Sumanta. --------------------------------- [[alternative HTML version deleted]]

Hi All, I have 500 variables time series data for 10 years data. I have sorted 10 out of them according to them. Now my group is giving character string. But i want to fetch those varaible data from theoriginal data. How can i do this? Suppose, total is the data of 500*1500 data. Now i sort 10 variables. >grp >"A41" "A48","A489" Now how can i fetch only

Hi R-Users, First of all i apologize if this is too simple for you. I want to plot an index of which i have daily data for 10 years. I want to plot specific dates in X axis, like 20/05/91 20/12/92 20/07/94 etc..... and the index value in Y axis. Please suggest me. Thanks, Sumanta. --------------------------------- Find out what India is talking about on Yahoo! Answers India.

Hi All, Can you please tell me whether "R" can handle other type GARCH models like, FIGARCH, E-GARCH, JGR-GARCH etc? Any particular help for these kind of models? Thanks, Sumanta Basak. --------------------------------- What makes Sachin India's highest paid sports celebrity?, Share your knowledge on Yahoo! India Answers Send instant messages to your online friends - NOW