[R] alpha_1 + beta_1 1 in GARCH(1,1)
Hi, as i suppose to know in a stationary GARCH(1,1) model the sum of alpha and beta has to be smaller than 1. But if i use the garchfit() function from the package fGarch for my timeseries the sum is bigger than 1. The adf.test tells me a p-value smaller than 0.01 instead. What does this mean for me? Can i trust in the coefficients in this case? mfg user84 -- View this message in context: http://r.789695.n4.nabble.com/alpha-1-beta-1-1-in-GARCH-1-1-tp4088342p4088342.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] Install the rugarch-package
Hi, i am unable to install the rugarch package. More than that i do not even find this package in my list of possible packages. Its possible than the name has changed, or the package is not longer availiable? Is there a similar package avaliable for garch modelling except the fGarch what i am using now? many Thanks Roland -- View this message in context: http://r.789695.n4.nabble.com/Install-the-rugarch-package-tp3911903p3911903.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] How to fit a non-normal-dist.-GARCH() time series?
Hi, i think the right to fit a GARCH-model is to use garchFit of the fGARCH package. My problem is that the time-series is definitly not normal distributed. So i can not use the QMLE method. How can i do it right? thanks Roland -- View this message in context: http://r.789695.n4.nabble.com/How-to-fit-a-non-normal-dist-GARCH-time-series-tp3836979p3836979.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] predict() of garchFit
Hi, could anyone tell me how predict() predicts the meanError or standardDerivation of a garchFit(1,1)-model, knowing the coefficients mu, omega, alpha1, beta1 and of course all datapoints? Thanks and sorry for my poor english. -- View this message in context: http://r.789695.n4.nabble.com/predict-of-garchFit-tp3826335p3826335.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] garchFit
Hi, i am a student of tecnical mathematics in austria, and my english is not sooo good, German would be easier, but an answer in english is perfect too. I would need any help to understand the exact output of the function garchFit. Maybe it would help me just to know what the coefficients are telling me. I do already understand well what functions like arima or garch are doing and telling me. So the problem should not be mathematical, but i do not understand what exactly are mu, omega, alpha1, ..., beta1,... or also gamma1,... instead to the coefficiebts a0,a1,...,b1,... of the garch function. many thanks Roland -- View this message in context: http://r.789695.n4.nabble.com/garchFit-tp3815122p3815122.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] garch() false convergence
Hi, i did in the last month a research about timeseries with the function ARIMA(). Where i had to know how to predict and forecast new datapoints in the future. Not only the things the functions predict() and forecast() can do. All was ok, as the arima function was in the major parts convergent and i did know how to predict for example in a simple ARIMA(x,0,y)-model. Now i have to do the same stuff for GARCH() The first problem is none of my timeseries is convergent. So it says false convergence to all x and y in GARCH(x,y). Second problem is i dont know exactly how to predict for example one new value for GARCH(2,2), and also the function predict() does not give me some new datapoints. Can someone help me out in one or both of my problems? Sorry for my poor english and many thanks Roltab -- View this message in context: http://r.789695.n4.nabble.com/garch-false-convergence-tp3594198p3594198.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] predict a MA timeseries
Hi, could anyone tell me how predict() predicts the new value(s), of a MA(1) arima-modell. its really easy to make it with an AR(1), knowing the last term, but how can i or R know the last error? It would also help if somebody could tell me how to find the open source of the function predict(). Thanks and sorry for my poor english. -- View this message in context: http://r.789695.n4.nabble.com/predict-a-MA-timeseries-tp3544071p3544071.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] r-squared for object timeseries
Hi, i am new in this forum. I hope someone can help me or correct me, if this is the false subforum to write this. I have to choose the best arima model from different possibilities of a timeseries. I know the AIC; BIC and similar. But now i would like to check the value called r-squared or adjusted r-squared in a linear model (in german called: Bestimmtheitsmaß). How can i get it in R? The function summary is not availiable for the type timeseries. If there is a routine or function that gets it, perfect, if not i am able to calculate this value for linear models. Is the equivalent thing for timeseries given, if i simply change the variable y from a linear model by the time? Thanks for any help! -- View this message in context: http://r.789695.n4.nabble.com/r-squared-for-object-timeseries-tp3425984p3425984.html Sent from the R help mailing list archive at Nabble.com. __ 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.