# similar to: TsayData

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. [[alternative HTML version deleted]]
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 [[alternative HTML version deleted]]
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! [[alternative HTML version deleted]]
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
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
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