similar to: Generalized DCC GARCH ML estimation

Hello, I am trying to model a bivariate time series called 'residuals' as a dcc-garch model. I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) to estimate the parameters. No matter how I tried to define a, A and B, I always got the message "Error in constrOptim(theta = para, f = loglik.dcc2, gr = grad.dcc2, ui = resta, : initial value not

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 =

hi all, i am using a dcc model for my senior thesis, it looks at stock returns during times of market uncertainty. my current rfile is below. library(SparseM) library(quantreg) library(zoo) library(nortest) library(MASS) library(fEcofin) library(mvtnorm) library(ccgarch) library(stats) library(foreign) #dataset<-read.csv(file="xxxx",header=FALSE) attach(dataset);

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 =

I am exploring the result of clustering a large multivariate data set into a number of groups, represented, say, by a factor G. I wrote a function to see how categorical variables vary between groups: > ddisp <- function(dvar) { + csqt <- chisq.test(G,dvar) + print(csqt$statistic) + print(csqt$observed) + print(round(csqt$expected)) + round(csqt$residuals) + } > > x

Hi Rich, While I was looking at hivex today I ran coverity on it. It spotted one problem but missed a similar one nearby. The following are from Hivex.xs: (generated by generator.ml) void node_set_values (h, node, values) hive_h *h; int node; pl_set_values values = unpack_pl_set_values (ST(2)); PREINIT: int r; PPCODE: r = hivex_node_set_values (h, node,

Hi Community, I have a question about how to pass command line parameters to R script running in the batch mode. The problem is: there is a banch of data files which are to be processed by R script called from a web-server, i.e. in the batch mode. The web server generates data files and passes their names calling 'R CMD BATCH' one by one for every file. Now the question is how to

Dear list members, I'm trying to use DCC-GARCH model to estimate the correlation. I have downloeaded ccgarch packeage but can't understand some argument in the formula. dcc.estimation(inia, iniA, iniB, ini.dcc, dvar, model, method="BFGS", gradient=1, message=1) which is on R.Help I understand others except "ini.dcc" which is described as "a vector of initial

Hi, I am passing a data frame and field name to a function. I've figured out how I can create the formula based on the passed in field name, but I'm struggling to create a vector based in that field. for example if I hard code with the actual field name Y = df$Target, everything works fine. but if I use the passed in parameter name, it doesn't give me what I want, Y =

Hello, In doing a series of non-linear estimations of a function which is a sum of a varying number of sinusoids, I would like to "autogenerate" the arguments needed by nls() depending on that number. For example, when there are two sinusoids: > nls( y ~ mu + A1 * cos(2*pi*f1*x - P1) + A2 * cos(2*pi*f2*x - P2), data = some.xy.data, start = list( mu=some.value0,

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 =

> > I have checked in all the latest into CVS and am going to start the > > test suite again. if all goes well I will probably release this as > > beta 10. > > > > anyway, try it out and let me know if anything bad happens! it > > should be a short jump from beta 10 to 1.0. > > I've just checked out the latest from scratch. There is no configure

I am running R version 2.15.1 in Windows XP I am having problems with a function I'm trying to create to: 1. subset a data.frame based on function arguments (colname & parmname) 2. rename the PARMVALUE column in the data.frame based on function argument (xvar) 3. generate charts plotvar <- function(parentdf,colname, parmname,xvar,yvar ){ subdf <-

Hi all, Using Samba 3.0.0beta3 on FreeBSD 4.9 and a WinXP SP1 client. I was able to join the domain with the WinXP machine, but I cannot log-on. The Windows error message is about the domain server not found, no machine account, etc. I set the log level to 3 and received the following output when I tried to log-on: "[2004/01/27 20:00:00, 3] smbd/sec_ctx.c:push_sec_ctx(256)

Hi, I'm trying to estimate the parameters of a state space model of the following form measurement eq: z_t = a + b*y_t + eps_t transition eq y_t+h = (I -exp(-hL))theta + exp(-hL)y_t+ eta_{t+h}. The problem is that the distribution of the innovations of the transition equation depend on the previous value of the state variable. To be exact: y_t|y_{t-1} ~N(mu, Q_t) where Q is a diagonal

To be clear, I do not intend to add support for hex specifier in the current patch, I just want to make sure the syntax we choose is going to allow it later. My immediate use case is decimal integer and I intend to write the code so that it's easy to extend to more type of numeric variables and expressions later. This way we'll only add specifier that are actually required by actual

Hi Alex, Thanks for the feedback. My first thought was that introducing the new pseudo var @EXPR is a nice way to generalize that syntax beyond @LINE since it would also evaluate to an arithmetic value. On the other hand there is a small inconsistency because @LINE evaluates to a value which can be part of an expression while @EXPR is an expression, and so the @ syntax as a whole becomes defined

Witam Anybody know how to deal with dcc irc sessions? I want to put them to lower priority queue, but i dont know how to track them, and then mark to use with fw filter. I tried iptables with -m helper --helper irc, but it seems to match only outgoing dcc sessions. But what about incoming? I''m shaping traffic from and to my small, NATed lan. -- Pozdrawiam Marcin

Hi, I am trying to fit a multivariate time series model using DCC GARCH model and forecast it. The data looks like this: > head(datax) x vibration_x Speed 1 2017-05-16 17:53:00 -0.132 421.4189 2 2017-05-16 17:54:00 -0.296 1296.8882 3 2017-05-16 17:55:00 -0.572 0.0000 4 2017-05-16 17:56:00 -0.736 1254.2695 5 2017-05-16 17:57:00 0.000

Hi, I am completely new to GARCH models and trying to fit a multivariate time series model using DCC GARCH model and forecast it. The data looks like this: > head(datax) x vibration_x Speed 1 2017-05-16 17:53:00 -0.132 421.4189 2 2017-05-16 17:54:00 -0.296 1296.8882 3 2017-05-16 17:55:00 -0.572 0.0000 4 2017-05-16 17:56:00 -0.736 1254.2695 5