Displaying 20 results from an estimated 500 matches similar to: "garchFit in fGarch fitted values are all the same"
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] <-
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
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
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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
2011 May 04
1
fGarch
Hi,
I am attempting to fit a ARMA/GARCH regression model without success.
### ARIMA-GARCH model with regressor ###
### Time series data: A multivariate data set.
cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])]
cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1))
### The following R scripts work:
(summary(no.day.fitr <- garchFit(dq ~ arma(0,3) +
2009 Apr 06
1
Problem with Extracting Fitted Values from fGarch package
Good day everyone,
I fitted a GARCH model to a time series and R estimated the model and provide me with the estimates. However, when I tried to extract the fitted values from the estimated model I got the following error message:
"Error in .local(object, ...) : object "fit" not found"
I used the following to extract the fitted values
fitted_TASI <- fitted(garchFit(~
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
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:
2009 Jun 19
1
using garchFit() to fit ARMA+GARCH model with exogeneous variables
Hello -
Here's what I'm trying to do. I want to fit a time series y with
ARMA(1,1) + GARCH(1,1), there are also an exogeneous variable x which I
wish to include, so the whole equation looks like:
y_t - \phi y_{t-1} = \sigma_t \epsilon_t + \theta \sigma_{t-1}
\epsilon_{t-1} + c x_t where \epsilon_t are i.i.d. random
variables
\sigma_t^2 = omega + \alpha \sigma_{t-1}^2 + \beta
2009 Apr 25
2
plm Hausman-Taylor model
Dear all-
I am have trouble in using the model="ht" option in function plm from
the plm library. I am using
Package: plm Version: 1.1-1; R version 2.8.1 (2008-12-22) running on a
FC-8 linux machine.
Here is what I am trying to do:
##----------------------------------------------------------------------------
R> ###Prob 6 Chapter 3 Use R! Applied Econometrics with R (Kleiber
2012 Mar 11
0
specify GARCH model, using garchFit()
Hello,
I’ve fitted a Garch(2,1) model with function 'garchFit()' from the package
'fGarch':
> m1 <- garchFit(formula = ~garch(2,1),data = X,trace = F)
* See 'summary(m1)' OUTPUT BELOW *
PROBLEM: My alpha1 term is not significant and I would like to make a NEW
model, say m2, that does not contain alpha1, but I am not sure how to
specify this with the garchFit()
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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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
2011 Jul 27
0
problems with predict in fGarch
Hello I am trying to use predict from an arma-Garch model (arma(2, 2) +
garch(1, 1)) and I am getting the following error:
Error en arima(x = object@data, order = c(max(u, 1), 0, max(v, 1)), init =
c(ar, :
non-stationary AR part from CSS
Does anybody know what can be the reason of this error? The model I have
estimated is the following:
Title:
GARCH Modelling
Call:
garchFit(formula =
2010 Jun 21
2
Garch in the mean
Hello,
I was wondering if anyone knew how to fit a series using a Garch-M (Garch
in the mean) model. From what I gathered from the documentation, it does
not seem to be implemented in either fGarch, fSeries, or tSeries. Perhaps
there is an option that allows this functionality. Otherwise, if it's
possible to modify an existing function I would appreciate any guidance on
how to go about
2010 Mar 23
1
caret package, how can I deal with RFE+SVM wrong message?
Hello,
I am learning caret package, and I want to use the RFE to reduce the
feature. I want to use RFE coupled Random Forest (RFE+FR) to complete this
task. As we know, there are a number of pre-defined sets of functions, like
random Forest(rfFuncs), however,I want to tune the parameters (mtr) when
RFE, and then I write code below, but there is something wrong message, How
can I deal with it?
2010 Oct 20
1
Multivariate GARCH
? stato filtrato un testo allegato il cui set di caratteri non era
indicato...
Nome: non disponibile
URL: <https://stat.ethz.ch/pipermail/r-help/attachments/20101020/415e917c/attachment.pl>
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.
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
2012 May 18
3
look at the underlying source code
hi
someone can show me how can i get the source code of a function. Is a S4
class or Method. (I'm not an expert in R environment)
Exactly, Function "ugarchsim" from library (rugarch).
I need to know (in detailed ) how the variance and mean ecuation of a
arma/garch process are calculated.
With other packages like "fGarch" i used to invoked the function debug ()
and allows