similar to: Help for updating package

I'm trying to use garchFit from fSeries, with Student or Skewed Student conditionnal distribution. Let's say that eps (vector) is my series of daily log-returns: data(EuStockMarkets) eps = diff(log(EuStockMarkets[,"CAC"])) library(fSeries) g = garchFit(series = eps, formula.var = ~garch(2,2), cond.dist = "dstd") s = g at fit$series All the coefficients are ok

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

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

Dear all, I have problem here : I'm using garchFit from fSeries package, here is part of the script : > data <- read.table("d:/data.txt") > a <- garchFit(~garch(1,1),ts(data)) I also attached the file here. In my experience, I got my R not responding. I also tried with > a <- garchFit(~garch(1,1),ts(data*10)) and it's worked. I

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

I used garchFit function to fit 1600 observations of EURO/USD 2-day returns in GARCH(1,1) model. As part of the summary I got warning message: NaNs produced in: sqrt(diag(fit$cvar)) And didn't get any estimates for 3 params' std.error, t value or probability: Error Analysis: Estimate Std. Error t value Pr(>|t|) mu -0.004827 0.020141 -0.240 0.811 ar1 0.010311

Dear R People: I'm trying to use the garchFit function from the library(fSeries) However, R freezes every time that I use it. Is anyone else having this problem, please? Thanks in advance! R Version 2.2.1 Windows. Sincerely, Erin Hodgess Associate Professor Department of Computer and Mathematical Sciences University of Houston - Downtown mailto: hodgess at gator.uhd.edu

Dear all, I'm using garchFit from fSeries package and I am not getting the desired results (error message : could not find function "garchFit" ). Would you please advise as to how I can build an ARIMA(p, d, q) - GARCH(p,q) model using R see the attached data and R-output. Thanking you in advance Kind regards Mangalani Peter Makananisa Statistical Analyst South

Helo, please look at the log below: after loading the fSeries library, I can not use the log function. Is this a bug or what am I doing wrong? Because of this, I'm unable to use the garch library. thanks a lot for any help, Balazs Torma > log(1) [1] 0 > require("fSeries") Loading required package: fSeries Loading required package: robustbase Loading required package:

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 =

Hello again! Is there a way to include a mean in the garch function in the library(tseries), please? I tried include.mean=T in the function statement but it didn't work thanks in advance! R Version 2.2.1 Windows Sincerely, Erin mailto: hodgess at gator.uhd.edu

Dear R-helper, I wish to implement the APARCH model as described in the fSeries documentation. But I get the following: >library(fSeries) [...] > ?aparchFit No documentation for 'aparchFit' in specified packages and libraries: you could try 'help.search("aparchFit")' > help.search("aparchFit") No help files found with alias or concept or

I have a problem wirh R: After loding fBasics packages log funtion doesn't work like as fallow: Cenap ERDEMIR Hacettepe University Turkey > log(20) [1] 2.995732 > local({pkg <- select.list(sort(.packages(all.available = TRUE))) + if(nchar(pkg)) library(pkg, character.only=TRUE)}) Loading required package: fImport Loading required package: fSeries Loading required package: robustbase

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

I have some comments on the Fortran code in the fseries package in file 4A-GarchModelling.f , especially the subroutine GARCHFIT and function DSNORM. I appended the code to the end of an earlier message, but it was rejected by some rule. Let me first say that I am grateful that packages for financial econometrics exist in R. Fortran 77 had PARAMETERs, and PARAMETERs equal to 99999 and 200 should

Hello all, I am trying to use the "garchFit" function in the fSeries Package to fit a Garch(1,1) Model with t distribution. I am using the following codes. fit <- garchFit(~garch(1,1),data,cond.dist="dstd") fitted(fit) I was expecting the fitted(fit) would return the fitted volatility, but the result turns out to be a series of repeated same value. I tried to change the

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

---------- Forwarded message ---------- From: ma yuchao <ma.yuchao@gmail.com> Date: 2006-5-20 ÉÏÎç4:01 Subject: hello, everyone To: R-help@stat.math.ethz.ch Hello, R people: I have a question in using fSeries package--the funciton garchFit and garchOxFit if adding a regression to the mean formula, how to estimate the model in R? using garchFit or garchOxFit? For example,

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) +

Full_Name: Scott Yonker Version: R for OSX Cocoa OS: Mac OSX Submission from: (NULL) (24.208.185.211) The garchFit function in the Rmetrics libray cannot estimate ARCH models, meaning that the number of beta terms in the model must be greater than zero. For this function neither p nor q can be set to zero without an error. The problem lies in both the specification of the objective function