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.
