similar to: Does R have EGARCH modeling function?

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

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

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 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

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",

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 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

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")

-Bugs and fixes reported to Diethelm Wuertz. -In the interim. To make the Ox functions part of the fSeries package work please follow the following steps. ------------------------------------------------- 1. Install R-project. 2. Install fSeries. 3. Download: http://www.core.ucl.ac.be/~laurent/G@RCH/site/xbdcons/garch42.zip (G@RCH package for Ox) 4. Download:

Dear all, I've recently switched from EViews to R with RMetrics/fSeries (newest version of july 10) for my analysis because of the much bigger flexibility it offers. So far my experiences had been great -prior I had already worked extensively with S-Plus so was already kind of familiar with the language- until I got to the fSeries package. My problem with the documentation of fSeries is that

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

Dear helpers, does anyone know a function to fit a model with: - y mean that is regressed on a set of explanatory variables - y variace behaving as a garch or as a garch in mean Thank you so much for your help, Carlo

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] >

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.

Helo, please look at the log below: after loading the fSeries library, I can not use the log function. Is this a bug or what am I doing wrong? Because of this, I'm unable to use the garch library. thanks a lot for any help, Balazs Torma > log(1) [1] 0 > require("fSeries") Loading required package: fSeries Loading required package: robustbase Loading required package:

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 have a problem with garchFit fuction in fSeries package. I found the following reply on one of the R list: "GARCH-Modelling is not easy, and indeed for your dataset the default "Sequential Quadratic Programming" solver doesn't converge. I observed this also for some other time series. There is already an updated version on the server,

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

Hello, I have a rather complex problem... I will have to explain everything in detail because I cannot solve it by myself...i just ran out of ideas. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And my first 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 =

Hello all, I would like to know how to call sas code in R. Since I simulate data in R and I need to use sas code (garch-t,egarch and gjr) to estimate it. I need to simulate 500 times with 2000 obs. How I can call that code in R.Also, how I can keep the parameters from the estimate. j=1:500 i=1:2000 sas code keep parameters. Best Appreciate, Luck