Displaying 20 results from an estimated 10000 matches similar to: "stdFit"
2006 Nov 22
0
questions about 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
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
2011 Nov 06
0
fGarch: garchFit and include.shape/shape parameters
Hello,
The function garchFit in the package fGarch allows for choosing a
conditional distribution, one of which is the t-distribution. The function
allows specification of the shape parameter of the distribution (equal to
the degrees of freedom for the t-distribution), for which the default is set
to 4. The function also includes an option "include.shape", which is "a
logical flag
2009 Jun 30
1
garchFit in fGarch fitted values are all the same
Dear all-
Package /fGarch/ version 2100.78 in R version 2.8.1 (2008-12-22)
running on linux 2.6.22.9-91.fc7
In trying to fit garch models in above environment. I am getting
"reasonable" fitted coefficients, but the fitObject@fitted are all the
same. This is true even for the help page example:
library(fGarch)
R> X.timeSeries = as.timeSeries(msft.dat)
R> head(
+
2011 Jan 31
0
Applying previously fitted fGarch model
Greetings,
Suppose I fit an fGarch model via garchFit function for a time series X.
I'm wondering is there any easy way to apply the fitted model to a different
time series Y to calculate conditional variances and standardized residuals?
Thanks.
--
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Sent from the R help
2008 Nov 04
1
AIC in time series
Hi everybody,
I have fitted an ar(1),Garch(1,1) model to some observations with the
help of the garchFit function which is in the fGarch package. Here
what I've done:
library("fGarch")
fit = garchFit(formula=~ar(1)+~garch(1,1), data=garat)
Now I want to count AIC for this model. How can I do it? I cannot do
it with the AIC function of stats package, because R tells me:
"Error
2011 Sep 28
1
fGarch - Fitting and APARCH-Modell with fixed delta
Hi there,
I'm trying to fit a GJR-GARCH Model using fGarch. I wanted to try that by
fitting an APARCH model with a fixed delta of 2 and a non-fixed gamma. So I
was simply trying to use:
spec <- garchFit(~aparch(1,1),data=garchSim(),delta=2)
coef(spec)
And sometimes, it's working like a charm and delta is indeed exactly 2 in
the resulting coefficient vector.
Frequently, though, the
2008 Apr 07
2
tcltk issue remains
Dear R-help,
I'm trying to load the fGarch package and keep running into problems
with tcltk:
After succesfully instaling fGarch (and dependencies) I get:
>library(fGarch)
Loading required package: fBasics
Loading required package: fImport
Loading required package: fSeries
Loading required package: robustbase
Loading required package: fCalendar
Loading required package: MASS
Loading
2009 Jan 30
1
Methods not loaded in R-Devel vs 2.8.1
Dear list-member,
I am currently developing a package with S4 classes. The NAMESPACE and DESCRIPTION is printed below. Within this package I have set a method "residuals" for two classes. In version 2.8.1 these two are reported whereas in R-Devel (2009-01-28 r47766). What have I missed? What has changed and how can I rectify the issue? Your help and pointers are welcome.
For 2.8.1:
2009 Feb 17
1
R crash after fGarch update
Hi folks!
After updating my packages my R seems to have completely crashed as will not
start up - even after I installed 2.8.1 from 2.8.0.
I get the following:
Fatal error: unable to restore saved data in .Rdata
Error in loadNamespeace(name): there is no package called fGarch
But I do have a package called fGarch.
After I hit ok, it crashes and exits. I cannot use any functionality at
all.
2013 Oct 24
1
installing package from source
Hi R users,
Currently I want to fit a FIGARCH model to a dataset. The only package that
allow for it that I could find is fGarch. However it seems that the FIGARCH
model class fitting of this package has been moved to Oxmetrics. I tried to
install the old versions of it using 'tar.gz' files from CRAN archive
http://cran.r-project.org/src/contrib/Archive/fGarch/
2011 Mar 24
1
Problems with predict in fGarch
Hello. I am using fGarch to estimate the following model:
Call:
garchFit(formula = fmla, data = X[, i], trace = F)
Mean and Variance Equation:
data ~ arma(1, 1) + garch(1, 1)
Conditional Distribution:
norm
Coefficient(s):
mu ar1 ma1 omega alpha1 beta1
-0.94934 1.00000 -0.23211 54.06402 0.45709 0.61738
Std. Errors:
based on Hessian
Error Analysis:
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] <-
2008 Dec 30
1
A mistake in garchFit()? {fGarch}
Hello,
I was using garchFit {fGarch} to fit some GARCH processes.
I noticed that the result contains "Log Likelihood" value (right above
"Description"), but when I use .. at fit$llh to retrieve Log Likelihood value,
the sign switched.
I am confused about which value I should choose to report...
Any help here?
Thanks a lot!
Ted
--
View this message in context:
2010 Jul 14
0
fGarch: garchFit() with fixed coefficents
hello everybody,
I would like to fit a model to a times series (testing set) for out of
sample predictions using garchFit(). I would like to keep the coefficients
of ARMA/GARCH model fixed (as found by fitting the model to my training
set). The arima fitting function has such an option for that (fixed=NULL)
but the garchFit() doesnt.
It is very important for me to keep the same coefficients
2009 Mar 03
0
Monte carlo simulation in fGARCH
I use fGarch package to estimate AR(1)-ARCH(1) process for a vector of returns. Then, using the estimated parameters I want to simulate 10 000 sample paths where each path has the same length as the vector of returns. So the first line of the code is: spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0))----
The only way I can think of generating 10 000
2013 Feb 17
0
forecast ARMA(1,1)/GARCH(1,1) using fGarch library
Hi, i am working in the forecast of the daily price crude .
The last prices of this data are the following:
100.60 101.47 100.20 100.06 98.68 101.28 101.05 102.13 101.70 98.27
101.00 100.50 100.03 102.23 102.68 103.32 102.67 102.23 102.14 101.25
101.11 99.90 98.53 96.76 96.12 96.54 96.30 95.92 95.92 93.45
93.71 96.42 93.99 93.76 95.24 95.63 95.95 95.83 95.65
2008 Mar 24
0
ARCH(1,0) with t-residuals
Dear R users,
I need to estimate an ARCH(1,0) model with t-residuals. To do this I use garchFit
function from fGarch library. However, I get the following error message:
Error in.garchInitParameters (formula.mean = formula.mean, formula.var =
formula.var, ): object "alpha" not found
I tried to estimate this model with different series, but I always get this error message.
For example,
2007 Nov 21
1
equivalent of Matlab robustfit?
Hi,
I've been using the Matlab robustfit function for linear regressions
where I suspect some data points are outliers. Is there an equivalent
function in R?
Take care, Darren
PS, This is the Matlab help on robustfit:
>> help robustfit
ROBUSTFIT Robust linear regression
B = ROBUSTFIT(X,Y) returns the vector B of regression coefficients,
obtained by performing robust
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