Displaying 20 results from an estimated 1000 matches similar to: "GARCH Models in R"
2017 Jul 11
2
dplyr help
Thank you very much for the support. I have just used the reshape library and my problem was solved.
Kind regards,
Peter
-----Original Message-----
From: Jeff Newmiller [mailto:jdnewmil at dcn.davis.ca.us]
Sent: 10 July 2017 03:52 PM
To: r-help at r-project.org; Mangalani Peter Makananisa; r-help at r-project.org
Cc: Vito Ricci (vito_ricci at yahoo.com)
Subject: Re: [R] dplyr help
I am
2017 Jul 11
0
dplyr help
A better thanks would be to post the solution that met your needs... particularly since in spite of our efforts it appears we may not have understood your problem. A small sample data set generated with dput along with your code would be helpful in making sure others learn along with you.
--
Sent from my phone. Please excuse my brevity.
On July 11, 2017 12:56:45 AM PDT, Mangalani Peter
2017 Aug 11
0
Package sqldf in R and dates manipulation
See FAQ #4 on the sqldf github home page.
On Fri, Aug 11, 2017 at 9:21 AM, Mangalani Peter Makananisa
<pmakananisa at sars.gov.za> wrote:
> Dear all,
>
> I recently read the book " R data preperation and manipulation using sqldf package" by Djoni Darmawikarta
> However, I have a problem with manipulation of dates using this package, I do not get the expected results.
2017 Jul 10
0
dplyr help
I am pretty sure that this is not a question about dplyr... it is a question about tidyr. Look at the help file ?tidyr::spread.
If I understand your question (I may not, because you gave no example of input/output data), the answer is no, the column names come from the column named by the key parameter and the values that fill those columns come from the column named by the value parameter.
2017 Jul 12
2
Importing Big data to R
Dear R-Gurus,
I am trying to read in data with 24,349,113 rows to R-3.3.3 (64 bit) and have used the library "data.table" and It managed to read 23,347,070 rows and the remainder was 2,043 rows only.
Could you please advise me as to which library/R-commands is suitable to read the full data in to R?
Kind regards,
Mangalani Peter Makananisa (5786)
South African Revenue Service
2017 Aug 11
2
Package sqldf in R and dates manipulation
Dear all,
I recently read the book " R data preperation and manipulation using sqldf package" by Djoni Darmawikarta
However, I have a problem with manipulation of dates using this package, I do not get the expected results. Do I need to install some packages to be able to subset the data by dates in sqldf?
I am not getting Djoni Darmawikarta email address.
Please see the practice
2017 Sep 11
0
Case statement in sqldf
> On Sep 11, 2017, at 1:05 AM, Mangalani Peter Makananisa <pmakananisa at sars.gov.za> wrote:
>
> Hi all,
>
> I am trying to create a new variable called Fiscal Year (FY) using case expression in sqldf and I am getting a null FY , see the code below .
>
> Please advise me as to how I can do this mutation.
>
> library(zoo)
> library(lubridate)
>
2017 Sep 11
4
Case statement in sqldf
Hi all,
I am trying to create a new variable called Fiscal Year (FY) using case expression in sqldf and I am getting a null FY , see the code below .
Please advise me as to how I can do this mutation.
library(zoo)
library(lubridate)
library(stringr)
library(RH2)
library(sqldf)
cr$ReportDate = as.Date(cr$ReportDate, format ='%Y-%m-%d')
> cr2 = sqldf(" select
2017 Sep 11
0
Case statement in sqldf
2018-03-3 in your code should be 2018-03-31.
The line
then'201415'
needs to be fixed.
When posting please provide minimal self-contained examples. There was
no input provided and library statements not relevant to the posted
code were included.
Fixing the invalid date and bad line, getting rid of those library
statements that are unnecessary and providing some test input, it
works
2017 Jul 10
4
dplyr help
HI all,
Is it possible to use one column spread on multiple columns values.
example
spread( Key_col, value1:value7)
spreading Key_col to variable value1, value2, ....... Value7
Please advise,
Kind regards
Mangalani Peter Makananisa (5786)
South African Revenue Service (SARS) - HO
+2782 456 4669 / +2712 422 7357
Please Note: This email and its contents are subject to our email legal notice
2010 Aug 25
4
Merging two data set in R,
Dear R Gurus,
I am currently working on the two dataset ( A and B), they both have the
same fields: ID , REGION, OFFICE, CSTART, CEND, NCYCLE, STATUS and
CB.
I want to merge the two data set by ID. The problem I have is that the
in data A, the ID's are unique. However in the data set B, the ID's are
not unique, thus some repeat themselves.
How do I the merge or retrieve the
2009 Nov 08
2
Scheffe test
Dear all,
Please help me with the R code which compute SCHEFFE TEST
Thanking you in advance
Kind regards
Mangalani Peter Makananisa
Statistical Analyst
South African Revenue Service (SARS)
Segmentation and Research : Data Modelling
Tel: +2712 422 7357
Cell: +2782 456 4669
Fax:+2712 422 6579
Please Note: This email and its contents are subject to our email legal notice
2010 Jul 21
1
Obtaining the unmerged cases from one of the two data set
Dear "R Gurus",
I am having two dummy csv data sets A and B containing 19 and 15
cases/observations respectively. From the two data set 13 cases are
intersection. From one of the two (any) data set, How do I then retrieve
the unmerged data ? let's take A for example, six cases must appear in
our results. See the R codes below.
Please assist.
Looking forward to hearing
2017 Jul 10
0
dplyr help
Hi
something like
dcast(temp2, minuty~pokus)
?
> dput(temp2)
structure(list(pokus = structure(c(1L, 1L, 1L, 2L, 2L, 2L, 2L,
2L, 3L, 3L, 3L, 3L, 4L, 4L, 4L, 5L, 5L, 6L, 6L, 7L, 7L, 8L, 8L
), .Label = c("T42", "T43", "T44", "T45", "T46", "T47", "T48",
"T49"), class = "factor"), minuty = structure(c(2L,
2010 Aug 18
1
Controlling the dates in R;
Dear R gurus,
I am currently using the chron package for date manipulation in R and I
am able to control the date which take the format
- 1998/07/03, and
- 2006-09-15 (date without time)
Library(chron)
As.Date(2006-09-15, format = '%Y-%m-%d')
However I have a problem with the date containing only the year and
month (i.e. 2006-09, 2007/08, 200609).
2008 Apr 01
1
garch prediction
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
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
2009 Apr 29
1
arma model with garch errors
Dear R experts,
I am trying to estimate an ARMA 2,2 model with garch errors.
I used the following code on R 2.9.
#library
library(fGarch)
#data
data1<-ts(read.table("C:/Users/falcon/Desktop/Time
Series/exports/goods1.csv"), start=c(1992,1), frequency=12)
head(data1)
#garch
garchFit(formula.mean= ~arma(2,2),formula.var=~garch(1,1), data=data1)
but get this error:
>
2011 May 15
4
DCC-GARCH model
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And the 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 = "^gspc",start = "2005-01-07",end =
2010 Mar 17
1
Reg GARCH+ARIMA
Hi,
Although my doubt is pretty,as i m not from stats background i am not sure
how to proceed on this.
Currently i am doing a forecasting.I used ARIMA to forecast and time series
was volatile i used garchFit for residuals.
How to use the output of Garch to correct the forecasted values from ARIMA.
Here is my code:
###delta is the data
fit<-arima(delta,order=c(2,,0,1))
fit.res <-