similar to: problems with garchFit

Hi all, I was trying garchFIt() of fSeries to fit volatility of monthly log returns of S&P500. I tried residuals of normal, student t, skew normal, skew t. But all innovations except normal got exaxtly same coefficients, even if I changed their parameters of skew and shape. Is this correct for the data or something wrong? I am attaching the code, thank you. Muster #GARCH analysis of

The following behaviour (in R 0.62.3) is disturbing: > (0+0i)^2 [1] NaN+NaNi Is it deliberate?? Laimonis Kavalieris -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To:

The following behaviour (in R 0.62.3) is disturbing: > (0+0i)^2 [1] NaN+NaNi Is it deliberate?? Laimonis Kavalieris -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To:

Dear friends, After running the lm() model, we can get summary resluts like the following: Coefficients: Estimate Std. Error t value Pr(>|t|) x1 0.11562 0.10994 1.052 0.2957 x2 -0.13879 0.09674 -1.435 0.1548 x3 0.01051 0.09862 0.107 0.9153 x4 0.14183 0.08471 1.674 0.0975 . x5 0.18995 0.10482 1.812 0.0732 . x6 0.24832 0.10059 2.469 0.0154 * x7

Hi. Background - I am working with a dataset involving around 750K observations, where many of the variables (8/11) are unordered factors. The typical model used to model this relationship in the literature has been a simple linear additive model, but this is rejected out of hand by the data. I was asked to model this via kernel methods, but first wanted to play with the parametric

I have some comments on the Fortran code in the fseries package in file 4A-GarchModelling.f , especially the subroutine GARCHFIT and function DSNORM. I appended the code to the end of an earlier message, but it was rejected by some rule. Let me first say that I am grateful that packages for financial econometrics exist in R. Fortran 77 had PARAMETERs, and PARAMETERs equal to 99999 and 200 should

Hello, I am new to non-linear growth modelling in R and I am trying to reproduce an analysis that was done (successfully) in S-Plus. I have a simple non-linear growth model, with no nesting. I have attempted to simplify the call as much as possible (by creating another grouped object, instead of using subset= and compacting the fixed and random expressions.) This is a what the grouped

Hello, I am trying to perform a logistic regression using counts. For example: cedegren <- read.table("http://www.cloudstat.org/index.php?do=/attachment/download/id_95 /", header=T) attach(cedegren) ced.del <- cbind(sDel, sNoDel) ced.logr <- glm(ced.del ~ cat + follows + factor(class), family=binomial("logit")) This works. However, if I change the family to

Dear All, I would like to be able to plot histograms/densities on a semi-log or log-log scale. I found several suggestions online http://tolstoy.newcastle.edu.au/R/help/05/09/12044.html https://stat.ethz.ch/pipermail/r-help/2002-June/022295.html http://www.harding.edu/fmccown/R/#histograms Now, consider the code snippet taken from http://www.harding.edu/fmccown/R/#histograms # Get a random

Hi List, I am looking for a variable selection procedure with a forward-backward selection method. Firstly, it is meant to work with the cophenetic correlation coefficient (CPCC) and intended to find the variable combination with the highest cophenetic correlation. Secondly, it is aimed at Gower metric with wards method (though this could be easily extended) aimed at categorical data. What I

Some of you may have seen the pythag() part in the R API definition in "Writing R Extensions" (source = doc/manual/R-exts.texinfo). or followed the report and Prof. Brian Ripley's answer about pythag()'s availability from R's binary. As we say in above manual >> `pythag(A, B)' computes `sqrt(A^2 + B^2)' without overflow or >> destructive

Hi, I am using the stdFit function (fGarch package) to get estimates for a fitted location, scale, and degrees of freedom of a dataset. I have no errors with the code however the estimates are not identical to the estimates I am getting when using SAS and MatLab (both give me the same estimates). Can someone comment on it? Here is the simple two lines I am using t_fit <- stdFit(independent)

Hello, I have a deriv function that I am feeding to nlme. It works, and I can use it in nls, but when I try to use it in nlme I get Error: subscript out of bounds. I can fit the model using SSasympOrig, instead of the deriv function, but I am trying to reproduce an earlier analysis (done in Splus) and I get slightly different results with SSasympOrig. Here are my calls: This does fit

The blowfish crypt(3) mechanism supports the use of a "cost value" for password encryption. The cost value is encoded into the encrypted password that is stored in master.passwd. On OpenBSD, this cost value can be set in login.conf. FreeBSD does not currently support the cost value. The cost value is the base-2 logarithm of the number of rounds of encryption to use so

Is there an easy way to display the SQL in script/console (similar to what is done in development.log)? The following works but it''s ugly: $ script/console Loading development environment. >> class ActiveRecord::ConnectionAdapters::AbstractAdapter >> def logger= (logr) >> @logger = logr >> end >> end => nil >>

Hi all, I use XP on my laptop PC, with 30 GB HD (single partition), and a 3.5" hard drive (not a stick), accessed through a USB encasing, partitioned as five logical drives. I have successfully set up syslinux to boot several Ubuntu versions from the primary USB hard drive partition, and no problems there. The problem is, I would like to have an entry in the menu, like "Boot from

Estimado Javier Marcusi estoy intentando hacerlo con dcast ya logre que se realice la suma pero lo hace con la ultima columna y yo requiero que se haga el mismo proceso con varias columnas Saludos Enrique RAMOS El Martes, 31 de mayo, 2016 13:00:28, Javier Marcuzzi <javier.ruben.marcuzzi en gmail.com> escribió: Estimado Enrique Ramos Yo podría decir ¿y data.table?. Hay muchas

Estimado Enrique Ramos Yo podría decir ¿y data.table?. Hay muchas alternativas Javier Rubén Marcuzzi De: Enrique RAMOS via R-help-es Enviado: martes, 31 de mayo de 2016 14:03 Para: R-help-es en r-project.org Asunto: Re: [R-es] sumar una variable con cast yo de nuevo, ahora se me presento otro problema en la base de datos del ejemplo solo tenia unas cuantas columnas mi base de datos tiene mas

Hola, ¿alguien sabe como actualizar un campo de oracle desde R con el paquete ROracle? Aquí el problema es el tipo de dato de la tabla, el cual no puede cambiar, es clob. Tampoco el paquete de R puede ser otro. Necesito poner un texto muy grande. He buscado en google he intentado con stored procedure y no funciona. Se trata de un proceso que debe quedar automatizado. Muchas gracias

Hola a todos, quisiera saber como hacer para cambiar la escala del eje x, por ejemplo en un gráfico de puntos. Saludos _________________________________________________________________ Windows Live Messenger GRATIS: lo que faltaba en tu BlackBerry http://www.messengerentublackberry.com?ocid=WL_BB_LandPage_TagLine [[alternative HTML version deleted]]