Displaying 20 results from an estimated 10000 matches similar to: "garch results is different other soft"
2005 Feb 22
1
Does R has the function for garch-t, gjr-garch, qgarch and egarch
Dear all,
I would like to know that R has the function for garch-t,gjr-
garch,qgarch and egarch.
Best Regards,
Luck
2010 Mar 17
1
Reg GARCH+ARIMA
Hi,
Although my doubt is pretty,as i m not from stats background i am not sure
how to proceed on this.
Currently i am doing a forecasting.I used ARIMA to forecast and time series
was volatile i used garchFit for residuals.
How to use the output of Garch to correct the forecasted values from ARIMA.
Here is my code:
###delta is the data
fit<-arima(delta,order=c(2,,0,1))
fit.res <-
2006 Aug 09
1
GARCH(1,1) optimization with R
Hello all,
Trying to implement GARCH(1,1) with ASP.NET <http://asp.net/> and
VB.NET<http://vb.net/>.
It involves optimization of a three-variate function with some constraints.
Learned from Wilmott.com <http://wilmott.com/> that R might be able to do it
but have no idea how. Could anyone help me out please. Thanks in advance.
Additional info:
1. Tried calling Excel Solver
2005 Mar 01
2
GARCH
Hi, everyone!
Is there a function to do single-variable GARCH in R? If yes, what
library is it in?
Thanks!
Toby
--
**************************************************************************
When Thomas Edison invented the light bulb he tried over 2000
experiments before he got it to work. A young reporter asked
him how it felt to have failed so many times. He said
"I never failed once. I
2005 Nov 21
2
garch function in R
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.
2009 Jun 15
2
GARCH:: False Convergence
Dear R users,
I am trying to use tseries' garch function in order to determine the
volatility of a return series generated by quantmod. Here is the code that I
am using:
> library(quantmod)
> getSymbols("AAPL")
convert daily closing prices into continuous log returns
> dret<-dailyReturn(AAPL,type='log')
check to see that the autocorrelations decay
>
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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2007 Dec 10
1
Having trouble getting GARCH parameters (basic/newbie)
I'm having no luck getting GARCH parameter estimations. It seems simple
enough, but I don't know what I'm doing. I'm a newbie both at R and GARCH
models, so whatever is going wrong, it's probably very basic. Here's what I
do:
1. I first load the tseries package with:
library("tseries")
2. I then load the data with:
g <-
2007 Nov 04
4
Problems with garch() function tseries package R 2.6.0
Hi all,
I recently updated my to R 2.6.0 and tseries package ?tseries? version: 0.10-11.
When i was using R Version 2.3.1 (2006-06-01) with tseries 'tseries' version: 0.10-7, the code
> garch(dflnRCLC1)
***** ESTIMATION WITH ANALYTICAL GRADIENT *****
Call:
garch(x = dflnRCLC1)
Coefficient(s):
a0 a1 b1
4.985e+00 1.880e-01 6.210e-14
>
worked very
2010 Aug 23
1
Fitting a GARCH model in R
Hi,
I want to fit a mean and variance model jointly.
For example I might want to fit an AR(2)-GARCH(1,1) model i.e.
r_t = constant_term1 + b*r_t-1 + c*r_t-2 + a_t
where a_t = sigma_t*epsilon_t
where sigma^2_t = constant_term2 + p*sigma^2_t-1 + q*a^2_t-1
i.e. R estimates a constant_term1, b, c, constant_term2, p, q
TIA
Aditya
2004 Feb 03
2
How to build a AR(q)-GARCH(q) process ?
Hello all,
I would like how to modelized a time serie with AR-ARCH process.
It can be used arma and garch functions in tseries package for build
ar process or a garch process, but how can it be modelized a ar-garch
model ?
Thanks
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2008 May 23
1
GARCH-like
I need to change the code of Garch to the FCGARCH (a non-linear
multi-regime GARCH).
I don't know nothing about R.
I'd like to know how can I get the code of the garch in order to change it
and make the fit for the FC-GARCH.
Any non-linear code will be helpfull because if doesn't help in the
programming it helps in getting familiar with R.
Thank you
Renato
--
PhD Student Renato
2009 Jun 10
2
Predict GARCH
hello,
i was trying to predict values for a garch, so i did:
predict(fitgarch,n.ahead = 20)
but this doesn't work. Someone can tell me how to get the 20 values ahead of a garch model.
thanks in advance
_________________________________________________________________
O Windows Live ajuda-o a manter-se em contacto com todos os seus amigos, num só local.
2003 Nov 27
2
would like to know how to simulated a GARCH(1,2)
Follow the example in tseries, we can simulated a GARCH(0,2),
n <- 1100
a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients
e <- rnorm(n)
x <- double(n)
x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
for(i in 3:n) # Generate ARCH(2) process
{
x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
}
x <- ts(x[101:1100])
and x is a GARCH(0,2).
But, I would like to know how
2005 Apr 11
1
TSeries GARCH Estimates accuracy
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
2006 Apr 26
2
garch in tseries
Hello again!
Is there a way to include a mean in the garch function in the
library(tseries), please?
I tried include.mean=T in the function statement but it didn't work
thanks in advance!
R Version 2.2.1 Windows
Sincerely,
Erin
mailto: hodgess at gator.uhd.edu
2006 Jul 26
2
Codes; White's heteroscedasticity test and GARCH models
Hello,
I have just recently started using R and was wondering whether anybody had a code written for White's heteroscedasticity correction for standard errors.
Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean models for modelling regression residuals?
Thanks a lot in advance,
Spyros
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2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
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 =
2006 Nov 20
1
how to forecast the GARCH volatility?
Dear All,
I have loaded package(tseries), but when I run
predict.garch(...) R tells me could not find function
"predict.garch", however ?predict.garch shows me
something. I am confused about this. How can I
forecast garch volatility?
I have tried:
predict(...,n.ahead=...),give me fitted value
predict(...,n),give me NA,NA
2007 Dec 14
1
garch function in tseries package
I am wondering how to run 'garch' function of 'tseries' package in R2.6.1.
I installed R2.3.1 and R2.6.1 in my PC (Windows XP Home) and run a
following simple GARCH function in both versions:
>garch(dSP[1:300], order = c(1,1))
where 'dSP' is daily return series of a stock index.
R2.6.1 can not finish calculation and also I can not stop the