Displaying 20 results from an estimated 3000 matches similar to: "Problem with GARCH models in R compared to S-PLUS"
2013 Feb 21
0
About multivariate GARCH: DVEC and BEKK
Dear All,
I attempted to fit a DVEC and a BEKK multivariate GARCH model, but am
wondering which package to use.
1. I tried to use "rmgarch" package in R, but I couldn't find the
subroutines for DVEC and BEKK.
2. I tried to find "rmgarch" package of R, which is not located on the
official R site. This is the latest version I can find, where the programs
were
2007 Apr 02
2
Multivariate GARCH model in R
Hi R users,
Heard that I can't use multivariate GARCH model in R because
R has only univariate GARCH models.... So, how can I run a multivariate
GARCH model in R?
Also, SPLUS has this utility...any ideas how can I use it in R?
Thanks
Shubha
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2013 Feb 19
1
Are there multivariate GARCH packages in R?
Hi ,
Are there any multivariate GARCH package (e.g., BEKK) in R?
I do see a few "projects" constructing multivariate GARCH package, but
wonder if there is anyone that is ready for use.
Thanks,
Miao
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2006 Nov 24
1
Fwd: Dates Conversion/write.foreign
---------- Forwarded message ----------
From: Shubha Vishwanath Karanth <shubhak at ambaresearch.com>
Date: Nov 24, 2006 7:54 PM
Subject: Dates Conversion/write.foreign
To: Shubha Karanth <shubhakaranth at gmail.com>, Shubha Vishwanath
Karanth <shubhak at ambaresearch.com>
Hi R experts,
I need an urgent help...
I have an a dataframe caled idat. Below i give a snapshot
2006 Dec 02
4
Fwd: Urgent Help in Paste Command
Hi Experts,
I want to see my object as below:
'C:\Program Files\R\R-2.4.0\bin\Rgui.exe'
So I use the paste command. None of the below is working. Could anyone help
me on this?
> paste("'C:\Program Files\R\R-2.4.0\bin\Rgui.exe'")
[1] "'C:Program FilesRR-2.4.0\binRgui.exe'"
> paste("'C:","\","Program
2011 Aug 03
1
the significance of BEKK estimation
Dear ALL,
I use BEKK package to estimate Bivariate GARCH model. But when the results
come out, there's no t-stat or p-value of the estimated coeffients. Does
anyone know how to get the significance?
Followings are the codes I input,
>P1=data.frame(x,y)
>y1=mvBEKK.est(P1)
>mvBEKK.diag(y1)
Anyhelp would be appreciated!
Sincere,
Zoe
--
View this message in context:
2006 Feb 14
2
how I can perform Multivariate Garch analysis in R
Dear aDVISOR,
Hope I am not disturbing you. Can you tell me how I can perform Multivariate
Garch analysis in R. Also please, it is my humble request let me know some
resource materials on Multivariate Garch analysis itself.
Sincerely yours,
--
Arun Kumar Saha, M.Sc.[C.U.]
S T A T I S T I C I A N [Analyst]
Transgraph Consulting [www.transgraph.com]
Hyderabad, INDIA
Contact # Home:
2006 Nov 16
0
FW: <RBloomberg Package Problem>
Yes...And the dependent package is RDCOMClient. I was using R
2.2.0...The downloading process was smooth...But not in R 2.4.0...why is
this so? Could you reply me ASAP?
-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Gabor
Grothendieck
Sent: Thursday, November 16, 2006 7:27 PM
To: Shubha Karanth
Cc: r-help at
2006 Nov 16
5
<RBloomberg Package Problem>
Hi R-Experts,
I'm currently using R 2.4.0 in Windows XP. I'm trying to download data
from Bloomberg using the package "RBloomberg", but it fails to install
the three needed packages "zoo", "chron" and 'Rbloomberg". Moreover I
am not able to find "RBloomberg" package as windows binary in CRAN
site as only for MAC it's given. Please
2006 Dec 19
1
Problem in Dates
Hi Experts,
I have a problem in Dates.
I have a zoo object called 'intra'. And the class of index(intra) is
("Chron" "Dates" "Time"). I need to put the index of this zoo object into a
data frame. So I used,
idat<-data.frame(Datetime=as.POSIXlt(index(intra),"GMT"))
But I get the values of 'idat' to be:
"01joulu2006
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
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 Feb 18
0
question about GARCH - newbie question
hello,
I have been looking at multiple websites on GARCH and
have looked at some books and I am getting
contradictory models given for GARCH.
If I use the GARCH function to fit my model, I am
confused as to what the coefficents given refer to.
For example if I fit a GARCH(1,1) model, GARCH will
give me three coefficients Ao, Ai, and Bi
I know Ao refers to the constant of the model.
But what
2005 Jun 03
0
RE: GARCH (1 , 1), Hill estimator of alpha, Pareto estimator]
Ukech U. Kidi wrote:
> dax<- diff(log(DAX_CAC$DAX[1:1865]))
> m1<- garch(dax)
> Error: couldn't find function "garch"
> m1<- garch(dax[1:1865])
> Error: couldn't find function "garch"
> m1<- garch(dax[1:1865])
I am sorry, but I forgot to change the addres to r-help in the reply.
Well, I am not sure, wheere do you want to get
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 =
2013 Apr 08
0
Maximum likelihood estimation of ARMA(1,1)-GARCH(1,1)
Hello
Following some standard textbooks on ARMA(1,1)-GARCH(1,1) (e.g. Ruey
Tsay's Analysis of Financial Time Series), I try to write an R program
to estimate the key parameters of an ARMA(1,1)-GARCH(1,1) model for
Intel's stock returns. For some random reason, I cannot decipher what
is wrong with my R program. The R package fGarch already gives me the
answer, but my customized function
2005 Feb 01
0
GARCH, installing tserise package
Hi, there,
First of all, I am not familar with the GARCH concept as well as R interface.
I have three questions regarding GARCH (1,1).
First, I got tseries package from CRAN. Where exactly am I supposed to
install it?
In my case, I copies it to C:\Program Files\R\rw2001\library. What do
I need to do in order to actually install it?
Second, I am not sure if I've installed it properly, but
2011 Nov 24
1
CAPM-GARCH - Regression analysis with heteroskedasticity
Hey Guys,
i want to do a CAPM-GARCH model. I didn?t find anything posted online.
(If there is something - shame on me - i didn?t find it.)
My Problem: What is the difference if I let the residuals ?e? follow a
garch process ?
How do I do my regression analysis now? I began reading about regression
analyis with heteroscedasticity, but didn?t get it.
So i started programming.
First
2005 Jun 03
1
GARCH (1 , 1), Hill estimator of alpha, Pareto estimator
Dear R users,
Could you please help me out. I am in trouble as I am unable to model graphs
to explain the GARCH (1 , 1) model, the Hill estimator (of alpha), and the
Pareto estimator.
I just got introduce to R. I am working on a paper which must be worked from
R.
You look at the difficulty I had from the text below.
[1] "DAX" "DAX_CAC" "DAX_CAC40"
2006 May 08
3
GARCH SIMULATION
Hi All,
I,m trying to do a GARCH simulation in R 2.3.0 release
in Windows XP. I've seen garchsim function but that is
for garch (1,1) and ?garch gives an example for ARCH
simulation. Can anyone help me how can i extend the
help shown in ?garch to GARCH simulation? Please help
me in this regard.
Thanks,
Sumanta Basak.
2012 May 02
1
calibration of Garch models to historical data
I have done the usual estimation of GARCH models, applied to my historical
dataset (commodities futures) with a maximum likelihood function and
selected the best model on the basis of information criteria such as Akaike
and Bayes.
Can somebody explain me please the calibration scheme for a GARCH model?
I was not able to find a paper, dealing with exactly this algorithm for my
case. I only