Displaying 20 results from an estimated 1000 matches similar to: "Basic R timeseries data manipulation"
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
2004 Nov 10
2
fSeries
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
2005 Dec 13
1
fSeries
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$series
All the coefficients are ok
2007 Jan 08
4
Export dataframe to txt
Hi all,
Is there a function to export a dataframe to a text file?
I want to store a large set of data which I have saved in a dataframe
in my workspace and copy and past doesn't cut it.
Thank you,
Benjamin
2011 May 04
1
fGarch
Hi,
I am attempting to fit a ARMA/GARCH regression model without success.
### ARIMA-GARCH model with regressor ###
### Time series data: A multivariate data set.
cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])]
cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1))
### The following R scripts work:
(summary(no.day.fitr <- garchFit(dq ~ arma(0,3) +
2006 Oct 26
4
Header of dataframe
Hi
I am fairly new to R and I would appreciate some help to hopefully a
trivial problem.
I created a function:
summary.aggregate <- function(y, ...)
{
temp.mean <- aggregate(y, FUN=mean, ...)
temp.sd <- aggregate(y, FUN=sd, ...)
temp.length <- aggregate(y, FUN=length, ...)
temp <- data.frame(cbind(mean=temp.mean$x,stdev=temp.sd$x,n=temp.length$x))
}
this outputs e.g.:
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 <-
2008 Apr 01
1
garch prediction
Hello
I want to predict the future values of time series with Garch
When I specified my model like this:
library(fGarch)
ret <- diff(log(x))*100
fit = garchFit(~arma(1,0,0)+garch(1, 1), data =ret)
predict(fit, n.ahead = 10)
meanForecast meanError standardDeviation
1 0.01371299 0.03086350 0.03305819
2 0.01211893 0.03094519 0.03350248
2011 May 15
4
DCC-GARCH model
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And the 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 = "^gspc",start = "2005-01-07",end =
2007 Mar 14
4
abs(U) > 0 where U is a vector?
Hi,
I am looking for a way to compare if every element of a vector is > 0.
i.e.
while(abs(U) > 0)
{
..
}
is there a function for this or do I have to write one?
I'd appreciate your help!
Benjamin
2007 Jan 08
3
Speeding things up
Hi,
is it possible to do this operation faster? I am going over 35k data
entries and this takes quite some time.
for(cnt in 2:length(sdata$date))
{
if(sdata$value[cnt] < sdata$value[cnt - 1]) {
sdata$ddtd[cnt] <- sdata$ddtd[cnt - 1] + sdata$value[cnt - 1] -
sdata$value[cnt]
}
else sdata$ddtd[cnt] <- 0
}
return(sdata)
Thank you,
Benjamin
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 =
2007 Jan 30
5
how to join two arrays using their column names intersection
Dear all,
I have a problem that may be someone of you can help. I am a newbie and
do not find how to do it in manuals.
I have two arrays, for example:
ar1 <- array(data=c(1:16),dim=c(4,4))
ar2 <- array(data=c(1:16),dim=c(4,4))
colnames(ar1)<-c("A","B","D","E")
colnames(ar2)<-c("C","A","E","B")
> ar1
2006 Nov 22
2
problems with garchFit
Hi all,
I post it on both r-help and r-finance since I don't know where is most
appropriate for this topic. Sorry if it bothers you.
I did garch fitting on S&P500 monthly returns with garchFit from fSeries. I
got same coefficients from all cond.dist except normal. I thought that is
probabaly usual for the data. But when I play with it, I got another
question.
I plot skew normal with
2010 Aug 15
2
fGarch: how to use garchFit() in loop?
Dear expeRts,
How can I specify the order p,q of a GARCH(p,q) model within a loop? Here's a minimal example showing that an "Formula and data units do not match"-error appears:
library(fGarch)
spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
data <- garchSim(spec, n = 100)
x <- list()
for(q in 1:3){
print(q)
x[q] <-
2007 Jan 15
4
How to format R code in LaTex documents
Hi,
I am planning on putting some R script in an appendix of a LaTex
document. Can anyone recommend me a way of how to format it? Is there
a way to keep all line breaks without having to insert \\ in every
single line?
Thank you!
Benjamin
2007 Jan 09
2
Logical operations or selecting data from data.frames
Hi all,
why doesn't something like this does not work?
speedy <-
(sdata$VaR < sdata$DdtdAbs) && sdata$DdtdDuration >= qpois(pct,lambda) &&
sdata$Ddtd > MinDD
or sdata$Ddtd[sdata$Ddtd > 0 && sdata$VaR < sdata$DdtdAbs]
sdata looks like this:
dataId date value Ddtd VaR DdtdAbs DdtdDuration
18948 79637 2004-07-27 10085.10
2009 Apr 29
1
arma model with garch errors
Dear R experts,
I am trying to estimate an ARMA 2,2 model with garch errors.
I used the following code on R 2.9.
#library
library(fGarch)
#data
data1<-ts(read.table("C:/Users/falcon/Desktop/Time
Series/exports/goods1.csv"), start=c(1992,1), frequency=12)
head(data1)
#garch
garchFit(formula.mean= ~arma(2,2),formula.var=~garch(1,1), data=data1)
but get this error:
>
2001 Sep 26
1
Table help
Hi,
A quick question:
I have to vectors, say ar1 and ar2
> ar1
[1] "a" "c" "c" "a"
attr(,"levels")
[1] "a" "b" "c"
> ar2
[1] TRUE TRUE FALSE TRUE
> table(ar1, ar2)
ar2
ar1 FALSE TRUE
a 0 2
c 1 1
I would like to obtain:
T F
a 2 0
b 0 0
c 1 1
2008 Aug 18
1
another GARCH problem
Hallo,
i want to fit a GARCH model with a extern regressor (without arma
components), so i found the following function in package fGarch. I tryed
out a lot of things but usually I get this Error.
> garchFit(formula=y~x, formula.var=~garch(1,1),data=w)
Error in .garchFit(formula.mean, formula.var, series = x, init.rec, delta,
:
Algorithm only supported for mci Recursion
I think i use the