similar to: how to estimate adding-regression GARCH Model

Dear R users, I have been trying to obtain the MLE of the following model state 0: y_t = 2 + 0.5 * y_{t-1} + e_t state 1: y_t = 0.5 + 0.9 * y_{t-1} + e_t where e_t ~ iidN(0,1) transition probability between states is 0.2 I've generated some fake data and tried to estimate the parameters using the constrOptim() function but I can't get sensible answers using it. I've tried using

Dear Users, I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess. By t-GARCH I want to mean that: e_t=n_t*sqrt(h_t) and h_t=ct2+a*(e_t)^2+b*h_t-1. where n_t is a random variable with t-Student distribution. If someone could give some guidelines, I can going developing the model. I did it in matlab, but the loops

Dear All, I am trying to simulate data for a spline/piecewise regression model. I am missing something fundamental in my simulation procedure because when I try to fit my simulated data using the Gauss-Newton method in SAS, I am getting some wacky parameter estimates. Can anyone please check my simulation code and tell me what mistake I am making in generating data for spline model? Thank you

Dear all, I have a serious problem to solve my model. I study over exploitation of fish in the bay of biscay (france). I know only the level of catch and the fishing effort (see data below) by year. My model is composed by the following equations: * the growth function Gt(St) = r*St*(1-St/sbar) with Gt the growth of each period t r intrinsec growth of the stock sbar carriyng capacity of the

Hello R and BUGS users, I am writing a heirarchical model in R to send to BUGS via R2WinBUGS and I am finding it difficult to get the model to run. I seem to be having two problems. 1) I can't seem to send variables classed as factors (Month), is there a way do this? 2) Checking the Log in WinBUGS I can see that the model is Syntactically correct, but Bugs is not able to recognise the the

I'm working on a personal project which involves lowering a superset of LLVM to "vanilla" LLVM. Part of this involves rewriting types. I'm working off of the 2.6 code base, so this may have been addressed in a bug fix. I'm having trouble with refineAbstractType and recursive types. Specifically, I'm creating opaque types to serve as placeholders for the final

Dear R-helpers, I have just loaded the fSeries package and I wanted to run the example provided in the documentation of garchOxFit but I got the following: > library(fSeries) > ?garchOxFit > library(datasets) > ?garchOxFit > ## Not run: > ## garchOxFit - > # Load Benchmark Data Set: > data(dem2gbp) > x = dem2gbp[, 1] >

Hi R-helpers, I'm new to time series modelling, but my requirement seems to fall just outside the capabilities of the arima function in R. I'd like to fit an ARMA model where the variance of the disturbances is a function of some exogenous variable. So something like: Y_t = a_0 + a_1 * Y_(t-1) +...+ a_p * Y_(t-p) + b_1 * e_(t-1) +...+ b_q * e_(t-q) + e_t, where e_t ~ N(0, sigma^2_t),

Dear R users, suppose we have a random walk such as: v_t+1 = v_t + e_t+1 where e_t is a normal IID noise pocess with mean = m and standard deviation = sd and v_t is the fundamental value of a stock. Now suppose I want a trading strategy to be: x_t+1 = c(v_t – p_t) where c is a costant. I know, from the paper where this equations come from (Farmer and Joshi, The price dynamics of common

I have written test.ll as below and ran 'opt' on it as " opt -std-compile-opts test.ll -S -o -" . But the output shows that there is code motion around the barrier intrinsics. test.ll ------- ; ModuleID = 'test.bc' define void @test(i16* %I_0, i16* %I_1, i16* %I_2, i16* %I_3, i16* %O_0) { entry: %T_0 = load volatile i16* %I_0 %T_1 = load volatile i16* %I_1 %T_2 =

Hi vedant, 1. First, I think your theory is right that llvm’s object file reading libraries do not “understand” the architecture I’m working on. Since I’m using binutils as assembler which means llvm can only provide asm and object file is provided by biutils. I think these ELF header information is provided by my binutils now, so maybe I have to modify binutils code to provide ELF header

Hey, I'm trying to implement a GARCH model with Johnson-Su innovations in order to simulate returns of financial asset. The model should look like this: r_t = alpha + lambda*sqrt(h_t) + sqrt(h_t)*epsilon_t h_t = alpha0 + alpha1*epsilon_(t-1)^2 + beta1 * h_(t-1). Alpha refers to a risk-free return, lambda to the risk-premium. I've implemented it like this: #specification of the model

Dear Sirs, I have a problem with the garchOxFit output. I want to display only the value of max.like.est and the information criteria. How can I do that; I enclose a part of GarchOxFit output, which is what I want to display. Best regards, Vasilios Ismyrlis GarchOxFit output No. Observations : 1000 No. Parameters : 2 Mean (Y) : -0.05511 Variance (Y) : 1.06869

You can make this much more readable with apply functions. result <- apply( all_combine1, 1, function(x){ p.value <- sapply( seq_len(nSims), function(sim){ gamma1 <- rgamma(x["m"], x["sp(skewness1.5)"], x["scp1"]) gamma2 <- rgamma(x["n"], x["scp1"], 1) gamma1 <- gamma1 -

Hi, I want to fit a regression model with one independent variable. The error part should be fitted an ARMA process. For example, y_t = a + b*x_t + e_t where e_t is modelled as an ARMA process. Please let me know how do I do this in R. What code should I use? TIA Aditya [[alternative HTML version deleted]]

Hi,   My question is how I load the package garchOxFit. I load the fGarch function that works quite well, but I can't use the garchOxFit function. I have tried looking at Help("garchOxFit"), I as far as I can understand I am supposed to download the OxConsole Software together with the "OxGarch" Package for free somewhere. But I dont know where to download it from? I have

Hi vedant, 1. The definition is from llvm/Supprot/ELF.h. But this machine information(e_machine) is given to compiler at lib/MC/ELFObjectWriter.cpp. I greped the whole llvm project and found that e_machine was assigned at only two files. One was lib/MC/ELFObjectWriter.cpp(there was an comment said “e_machine=target”) and the other was tools/obj2yaml/elf2yaml.cpp(GDB stopped only at the

Always keep the mailing list in cc. The code runs for each row in the data. However I get the feeling that there is a mismatch between what you think that is in the data and the actual data. ir. Thierry Onkelinx Instituut voor natuur- en bosonderzoek / Research Institute for Nature and Forest team Biometrie & Kwaliteitszorg / team Biometrics & Quality Assurance Kliniekstraat 25 1070

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 Jeem, First, please send questions like this to the help list, not me. I assume that you are in a similar position to sjtan who has been sending almost exactly the same questions. The problem is not in the loops (which look rather familiar to me) but in your initial assignments at the top. For instance: scale parameter=(1,1.5,2,2.5,3) produces an error which has nothing to do with the