You are probably using Windows: you didn't say. If so, this is a known bug in the tseries package: it uses Fortran I/O and that fails in Rgui. The fix (until the package is updated) is to use Rterm instead.
On Sun, 9 Dec 2007, caffeine wrote: > > I'm having no luck getting GARCH parameter estimations. It seems simple > enough, but I don't know what I'm doing. I'm a newbie both at R and GARCH > models, so whatever is going wrong, it's probably very basic. Here's what I > do: > > 1. I first load the tseries package with: > > library("tseries") > > 2. I then load the data with: > > g <- read.table("test.csv", header=T) > > 3. It appears to work because I can print the data (a "hello world" type > dataset with only 5 datapoints): > > > g > Data > 1 0.002337 > 2 0.010037 > 3 0.007608 > 4 0.005620 > 5 0.006050 > > 4. Looks good. So now I try to get the parameters of a fitted GARCH(1,1) > model: > > > gFit <- garch( g, order=c(1,1) ) > > Here's where the problem is. R returns: > > ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** > > and that's it. No further output is generated; R just sits there. My > dataset had 5000 elements, but R just hung there after printing the above > message. So I cut the dataset down to 100 elements, and then down to just > 5 elements. > > I'm pretty sure 5 elements should be a snap for R; I think the estimation > would be done in seconds, so something is definitely wrong. > > Help? > > -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.