similar to: Questions regarding R and fitting GARCH models

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

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 =

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

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

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

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.

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

Dear Sir, First of all Happy Holidays!,... I am writing to you because I am a bit confused about ARCH estimation. Is there a way to find what garch() exactly does, without the need of reading the source code (because I cannot understand it)? In Eviews (the results at the end) I am getting different results than in R (for those that have the program I do: Quick -> Estimage Equation ->

I have a problem with garchFit fuction in fSeries package. I found the following reply on one of the R list: "GARCH-Modelling is not easy, and indeed for your dataset the default "Sequential Quadratic Programming" solver doesn't converge. I observed this also for some other time series. There is already an updated version on the server,

Dear all, I'm using garchFit from fSeries package and I am not getting the desired results (error message : could not find function "garchFit" ). Would you please advise as to how I can build an ARIMA(p, d, q) - GARCH(p,q) model using R see the attached data and R-output. Thanking you in advance Kind regards Mangalani Peter Makananisa Statistical Analyst South

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

Dear all, I have problem here : I'm using garchFit from fSeries package, here is part of the script : > data <- read.table("d:/data.txt") > a <- garchFit(~garch(1,1),ts(data)) I also attached the file here. In my experience, I got my R not responding. I also tried with > a <- garchFit(~garch(1,1),ts(data*10)) and it's worked. I

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

Dear all, I would like to know that R has the function for garch-t,gjr- garch,qgarch and egarch. Best Regards, Luck

Dear helpers, does anyone know a function to fit a model with: - y mean that is regressed on a set of explanatory variables - y variace behaving as a garch or as a garch in mean Thank you so much for your help, Carlo

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

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] >

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 =

Helo, please look at the log below: after loading the fSeries library, I can not use the log function. Is this a bug or what am I doing wrong? Because of this, I'm unable to use the garch library. thanks a lot for any help, Balazs Torma > log(1) [1] 0 > require("fSeries") Loading required package: fSeries Loading required package: robustbase Loading required package:

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