Dear all, I've recently switched from EViews to R with RMetrics/fSeries (newest version of july 10) for my analysis because of the much bigger flexibility it offers. So far my experiences had been great -prior I had already worked extensively with S-Plus so was already kind of familiar with the language- until I got to the fSeries package.
My problem with the documentation of fSeries is that it is pretty sparse; therefore I don't whether I am doing something wrong or if my problem is related to elementary statistics (though I hold an MSc in Econometrics, it's been quite awhile :o). Next to that I have two questions related to the syntaxis of the R language itself; I've been searching for a good couple of hours but couldn't find the answers. Hope you can help me out. >From the descriptive statistics of my series, I had determined that my GARCH error term should follow a student's t distribution, preferrably skewed; the sstdFit function returns nu=2.002 and xi=1.012. I know that for this distribution 2 degrees of freedom means the second, third and fourth moment are not defined; however, the QQ plot looks good -had to use the skwt package though, because rsstd didn't work- so I decided to give it a try. 1) That didn't go all to well. garchFit returns alpha1 and beta1 of 0.1 and 0.8 respectively (and beta1 has a standard error of NaN) - which are not consistent at all with what EViews reported. How is this possible? Is it because GARCH estimation with a student's t distribution with 2 degrees of freedom is impossible? What are my options in this case? Or do I need to use garchSpec, of which I have absolutely *no* idea what its use is (i.e. the entire idea is to obtain estimates for a given order of AR-GARCH, right)? 2) R/RGui crashes frequently - also if I "just" want to estimate a GARCH(1,1) with a student's t distributed error term and 4 or 5 degrees of freedom. I think it just gets into an endless calculation loop; is there a way to abort this? 3) Is there a way to extract the data from the garchFit objects? So if "fit" is my object, how can I extract specific data like the fit$coef[1] I can use with other objects? Ultimately, fSeries comes with a really nice plotting function (i.e., plot(fit, which=2)) but I want to extract the series it actually plots from there - is that possible like the hist function? Thanks a lot for your time. Best regards, Jeroen van der Heide ______________________________________________ R-help@stat.math.ethz.ch 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.