[R] Degrees of freedom in the Ljung-Box test

2011-08-27 Thread Marcin P?�ciennik
Dear list members, I have 982 quotations of a given stock index and I want to run a Ljung-Box test on these data to test for autocorrelation. Later on I will estimate 8 coefficients. I do not know how many degrees of freedom should I assume in the formula for Ljung-Box test. Could anyone tell me

[R] Dummy variable regression

2011-08-23 Thread Marcin P?�ciennik
Dear list members, I want to apply AR(1)-GARCH(1,1) model in order to conduct a test of structural shifts in conditional correlations which I previously estimated. To be more exact, first, I estimate the conditional correlations using the DCC-GARCH model. Now I want to check whether these

[R] AR-GARCH with additional variable - estimation problem

2011-07-13 Thread Marcin P?�ciennik
Dear list members, I am trying to estimate parameters of the AR(1)-GARCH(1,1) model. I have one additional dummy variable for the AR(1) part. First I wanted to do it using garchFit function (everything would be then estimated in one step) however in the fGarch library I didn't find a way to

Re: [R] About DCC-garch model...

2011-06-07 Thread Marcin P?�ciennik
Hi, I thought that a common practice is just to ommit the first period data since it does not have much influence on further results / calculations. Cheers Marcin 2011/6/7 windseav winds...@gmail.com Hi, everyone, I currently run into a problem about DCC-Garch model. I use the package

[R] DCC-GARCH model

2011-05-23 Thread Marcin P?�ciennik
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 - SP500 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 =

[R] DCC-GARCH model

2011-05-18 Thread Marcin P?�ciennik
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 - SP500 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 =

[R] DCC-GARCH model

2011-05-15 Thread Marcin P?�ciennik
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 - SP500 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 =

[R] DCC-GARCH model and AR(1)-GARCH(1,1) regression model

2011-05-14 Thread Marcin P?�ciennik
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 - SP500 and DJ. And my first aim is to estimate coefficients of the DCC-GARCH model for

[R] DCC-GARCH model and AR(1)-GARCH(1,1) regression model

2011-05-12 Thread Marcin P?�ciennik
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 - SP500 and DJ. And my first aim is to estimate coefficients of the DCC-GARCH model for

[R] DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..

2011-05-10 Thread Marcin P?�ciennik
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 - SP500 and DJ. And my first aim is to estimate coefficients of the DCC-GARCH model for