Displaying 20 results from an estimated 1000 matches similar to: "A mistake in garchFit()? {fGarch}"
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] <-
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
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 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
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 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:
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
2009 Jun 30
1
garchFit in fGarch fitted values are all the same
Dear all-
Package /fGarch/ version 2100.78 in R version 2.8.1 (2008-12-22)
running on linux 2.6.22.9-91.fc7
In trying to fit garch models in above environment. I am getting
"reasonable" fitted coefficients, but the fitObject@fitted are all the
same. This is true even for the help page example:
library(fGarch)
R> X.timeSeries = as.timeSeries(msft.dat)
R> head(
+
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
2008 Mar 24
0
ARCH(1,0) with t-residuals
Dear R users,
I need to estimate an ARCH(1,0) model with t-residuals. To do this I use garchFit
function from fGarch library. However, I get the following error message:
Error in.garchInitParameters (formula.mean = formula.mean, formula.var =
formula.var, ): object "alpha" not found
I tried to estimate this model with different series, but I always get this error message.
For example,
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(~
2008 Sep 12
1
Error in solve.default(Hessian) : system is computationally singular
Hello everyone,
I'm trying to estimate the parameters of the returns series attached using the GARCH code below, but I get the following error message:
Error in solve.default(Hessian) :
system is computationally singular: reciprocal condition number = 0
Error in diag(solve(Hessian)) :
error in evaluating the argument 'x' in selecting a method for function 'diag'
Can
2008 Aug 18
1
ARMA(0,2) & GARCH(1,1) - code & hessian
Hello R-list-members,
I'm trying to model ARMA(0,2) & GARCH(1,1) process using the code below, but according to my textbook, the estimated parameters are wrong. The MA-parameters should be negative. (I've got the same problem using garchFit()). Can anyone tell me what I'm doing wrong? And how can I calculate the hessian matrix?
Many thanks,
Desislava Kavrakova
Code:
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) +
2008 Nov 04
1
AIC in time series
Hi everybody,
I have fitted an ar(1),Garch(1,1) model to some observations with the
help of the garchFit function which is in the fGarch package. Here
what I've done:
library("fGarch")
fit = garchFit(formula=~ar(1)+~garch(1,1), data=garat)
Now I want to count AIC for this model. How can I do it? I cannot do
it with the AIC function of stats package, because R tells me:
"Error
2010 Dec 07
1
Using nlminb for maximum likelihood estimation
I'm trying to estimate the parameters for GARCH(1,1) process.
Here's my code:
loglikelihood <-function(theta) {
h=((r[1]-theta[1])^2)
p=0
for (t in 2:length(r)) {
h=c(h,theta[2]+theta[3]*((r[t-1]-theta[1])^2)+theta[4]*h[t-1])
p=c(p,dnorm(r[t],theta[1],sqrt(h[t]),log=TRUE))
}
-sum(p)
}
Then I use nlminb to minimize the function loglikelihood:
nlminb(
2012 Oct 11
1
a question
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
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
accessing info in object slots from listed objects using loops
Hey,
I have stacked a couple of garchFit objects in a list with names $fit1,
$fit2, ..., $fiti assigning objects names using a loop, i.e. after running
the loop modelStack = list($fit1, $fit2,...,$fiti).
Thus the following apply;
a = modelStack$fit2, then a is the second garchFit object of formal class
'fGarch' with 11 slots, @call, @formula... etc.
I then want to extract information in