Displaying 20 results from an estimated 100 matches similar to: "TsayData"

2006 Apr 20

1

Extract AIC, BIC

Hi All,
How can extract AIC,BIC from a fitted Garch model?
--
SUMANTA BASAK.
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2006 Jan 02

1

Use Of makeARIMA

Hi R-Experts,
Currently I'm using an univariate time series in which I'm going to
apply KalmanLike(),KalmanForecast (),KalmanSmooth(), KalmanRun(). For I
use it before makeARIMA () but I don't understand and i don't know to
include the seasonal coefficients. Can anyone help me citing a suitable
example? Thanks in advance.
------------------------------------------

2008 Feb 02

1

ARCH LM test for univariant time series

Hi,
Does anyone know if R has a Lagrange multiplier (LM) test for ARCH
effects for univariant time series?
Thanks!
--
Tom
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2009 Aug 23

1

study resources for time series?

Hi all,
I am looking for study resources for (financial) time series? Hopefully I
could find video lectures then it will reduce the learning curve.
Thanks a lot!
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2006 Jul 11

1

Other models of GARCH

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2006 Nov 07

1

Comparison between GARCH and ARMA

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:
#

2006 Feb 22

2

Error in RBloomberg

Hello R-Experts,
Currently I'm using "RBloomberg" package in R-2.2.1 in Windows machine (
XP). When I'm running one specific example using blpGetData given in
help file I'm getting the following error message.
conn <- blpConnect()
edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",
start=chron("1/1/06"),

2013 Sep 19

15

[Bug 2155] New: sftp program has tty attributes setting problem

https://bugzilla.mindrot.org/show_bug.cgi?id=2155
Bug ID: 2155
Summary: sftp program has tty attributes setting problem
Product: Portable OpenSSH
Version: 5.3p1
Hardware: ix86
OS: Linux
Status: NEW
Severity: critical
Priority: P5
Component: sftp
Assignee:

2003 Aug 22

1

ifconfig hw ether and -arp

Hi,
Just thought I'd mention that I spent a while battling with tinc today.
I had quite a weird behaviour - in routing mode, tinc would come up fine
on both hosts, but pinging hosta from hostb wouldn't work until hosta
pinged hostb.
I've used an earlier version of tinc before in a different environment
with no problems, and vaguely remembered a more complicated tinc-up
script, so I

2009 Feb 08

0

Initial values of the parameters of a garch-Model

Dear all,
I'm using R 2.8.1 under Windows Vista on a dual core 2,4 GhZ with 4 GB
of RAM.
I'm trying to reproduce a result out of "Analysis of Financial Time
Series" by Ruey Tsay.
In R I'm using the fGarch library.
After fitting a ar(3)-garch(1,1)-model
> model<-garchFit(~arma(3,0)+garch(1,1), analyse)
I'm saving the results via
> result<-model

2008 Feb 13

0

FinTS_0.2-7

Hi, All:
FinTS version 0.2-7 is now available on CRAN. This version adds two
new functions:
* ArchTest to compute the Engle (1982) Lagrange multiplier test for
conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with
examples on those pages worked in the R script in
"~R\library\FinTS\scripts\ch03.R", where "~R" is your local R
installation directory.

2008 Feb 13

0

FinTS_0.2-7

Hi, All:
FinTS version 0.2-7 is now available on CRAN. This version adds two
new functions:
* ArchTest to compute the Engle (1982) Lagrange multiplier test for
conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with
examples on those pages worked in the R script in
"~R\library\FinTS\scripts\ch03.R", where "~R" is your local R
installation directory.

2002 May 05

0

Announce: My arma_scan.R for ARIMA

Hellow all R fans,
I wrote a R program for
SCAN: Smallest CANonical Correlation Method for
ARIMA(p,d,q) identification. (by Tsay and Tiao (1985))
I don't know if there is already one for this,
but since I was unable to find one, so I did it.
It's ready to download at the following page
http://netstat.stat.tku.edu.tw/download.php
I've tested the program and comared

2008 Sep 30

0

error in fBasics package

When I try to load "fBasics" package, I get following error/warning :
> library(fBasics)
Loading required package: fImport
Loading required package: fSeries
Loading required package: fBasics
Loading required package: fImport
Loading required package: fSeries
Loading required package: fBasics
Loading required package: fImport
Loading required package: fSeries
Loading required

2005 Apr 20

2

fSeries Technical Analysis rsiTA problem

fSeries Technical Analysis rsiTA problem
Hello,
I?m trying to use the rsiTA() function but keep getting this error:
>rsiTA(tsx,14)
Error in "[.timeSeries"(close, 1:(length(close) - 1)) :
only 0's may be mixed with negative subscripts
Here?s is the first three lines of my data:
>tsx[1:3,]
close
2004-04-18 20:00:00 8702.82
2004-04-19

2013 Jan 30

1

fSeries not found in R

Hello all,
When I tried to install fSeries in R, I got the following error messages:
install.packages("fSeries",dependencies=T)
Warning message:
package 'fSeries' is not available (for R version 2.15.2)
Is this package changing/merging to another package?
Thanks,
Rebecca
----------------------------------------------------------------------
This message, and any

2006 Apr 26

1

garchFit from fSeries

Dear R People:
I'm trying to use the garchFit function from the library(fSeries)
However, R freezes every time that I use it.
Is anyone else having this problem, please?
Thanks in advance!
R Version 2.2.1 Windows.
Sincerely,
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgess at gator.uhd.edu

2008 Jun 02

1

Help : R-packages : Problems loading package fSeries

Hi.
I am trying to load the package fSeries, in order to load the package
fGarch after.
However, it says the following message.
> local({pkg <- select.list(sort(.packages(all.available = TRUE)))
+ if(nchar(pkg)) library(pkg, character.only=TRUE)})
Loading required package: fBasics (Error : ... infinite recursion)
Loading required package: fImport
Loading required package: fSeries
Loading

2005 Dec 04

1

fSeries: garchOxFit - is really the example provided not runnig?

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]
>

2007 Jul 19

0

fSeries GARCH(1,1)

Hello all, I am trying to use the "garchFit" function in the fSeries Package
to fit a Garch(1,1) Model with t distribution. I am using the following
codes.
fit <- garchFit(~garch(1,1),data,cond.dist="dstd")
fitted(fit)
I was expecting the fitted(fit) would return the fitted volatility, but the
result turns out to be a series of repeated same value. I tried to change
the