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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

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] <-

Hello, I am struggling for some time now to estimate AR(1) process for commodity price time series. I did it in STATA but cannot get a result in R. The equation I want to estimate is: p(t)=a+b*p(t-1)+error Using STATA I get 0.92 for a, and 0.73 for b. Code that I use in R is: p<-matrix(data$p) # price at time t lp<-cbind(1,data$lp) # price at time t-1

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.

I am estimating daily electricity prices using GARCH (1,1). What I would like to see is whether there is some kind of daily or seasonal effect in variance of the price series. For instance, variance of electricity prices might be different (higher) during weekdays as opposed to during weekend. Thus, I would like to include some dummy variables in variance equation -but I don't know how to

Hello, I am trying to estimate parameters of mean reverting process with jumps given by: dp=k(mu-p)dt+sigma*dz+Jdq where dp represents change in log of price, k is reversion factor, mu is long run level of price, sigma is standard deviation, and dq equals one with probability lambda if jump occurs and 1-lambda otherwise. J is jump size with mean muj and standard deviation delta. Therefore, when

I am confused by obtaining different results when testing for unit root when using different packages. I have 2625 price entries for which I want to determine whether they exhibit unit root. First I test using adf.test from tseries package by running: > adf.test(P, k=30) Augmented Dickey-Fuller Test data: P Dickey-Fuller = -4.685, Lag order = 30, p-value = 0.01 alternative hypothesis:

Dear all, I am using GARCH (1,1) model to simulate volatility. But seems that I am missing something about how it works in R. The following code produces negative results, though vola cannot be. What is wrong here? library("fSeries") library("fGarch") spec = garchSpec(model = list(omega = 0.01, alpha = 0.13, beta = 0.86)) gat <- garchSim(spec, n = 10) Thanks a lot!

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

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

hello, In my time series data, I was able to successfully fit its ARIMA model (Box-Jenkins) and its GARCH model and estimate their parameters. I was also able to forecast future values of the time series based on my fitted ARIMA model using the predict() function call. However, I'm not sure what is the correct function command to call in order to forecast future values of my time series

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

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

Hello,   Could someone help me please and to tell how to get the probability from empirical DENSITY (not parametric) for each data value (R function). For example, for normal distribution there is such a function like:   “dnorm(q, mean = 0, sd = 1, lower.tail = TRUE, log.p = FALSE)”   I need the same function only for the empirical DENSITY function (which does not correspond to any typical

Dear all, I've recently switched from EViews to R with RMetrics/fSeries (newest version of july 10) for my analysis because of the much bigger flexibility it offers. So far my experiences had been great -prior I had already worked extensively with S-Plus so was already kind of familiar with the language- until I got to the fSeries package. My problem with the documentation of fSeries is that

This is a situation. I have samba, winbind, w2k domain. Everything works fine BUT User "test" is member of group "ALL" and group "MARKETING" Group ALL have all permission on folder COMPANY, and group MARKETING doesn't have any access (deny) . User test still can access folder COMPANY. If I explicitly deny user test to access that folder then it's OK.

Hi All, This question was brought up some time ago but I never saw a reply so I'd like to bring it up again. When using ROracle package (version 0.5-5), I am unable to run any queries that are greater than 4000 characters in length. If I do, I get the following message: Error in oraPrepareStatement(con, statement, bind=NULL) : RS-DBI driver: (too long a statement -- it must has less than

Dear R-helpers, I need to read some data from output of garchFit in fGarch. my model is garch(1,1) and i want to read coefficients(omega,alpha,beta) and timeseries(x) and conditional SD(s). because i need them to use in other formula. for example :omega+x[1]+s[3] and maybe i have several simulation then i need a general way to read them, not to read with my eyes for example the quantity of

Dear Folks, I am just starting out with Markdown and am trying to get two elements working: (1) An inline HTML link; and (2) An inline mailto: link as shown in the text below: We invite you to [browse] (http://academy.swanlotus.com/index.html) this website. Take a look and see if you find anything useful. And do [drop us a line] (mailto:feedback at swanlotus.com) with your comments for

Hi, I have been trying to output my graphs to a file (jpeg, pdf, ps, it doesnt matter) but i cant seem to be able to get it to output. I tried a few things but none of them worked and am lost as what to do now. I am using the scatter3d function, and it prints out the graphs on tot he screen without any problems, but when it comes to writing them to a file i cant make it work. Is there any