Hello all, I am trying to use the "garchFit" function in the fSeries Package
to fit a Garch(1,1) Model with t distribution. I am using the following
codes.
fit <- garchFit(~garch(1,1),data,cond.dist="dstd")
fitted(fit)
I was expecting the fitted(fit) would return the fitted volatility, but the
r
lt;[EMAIL PROTECTED]>
To: "Ian Gregory" <[EMAIL PROTECTED]>
Cc: ; <[EMAIL PROTECTED]>
Sent: Saturday, June 16, 2007 9:54 PM
Subject: Re: [R] fSeries - Ox - ver: 240.10068 - Steps to make it work
> Line number 55 in the original mail from 2005 was a reference to
>
e estimation to be:
>
> ...
> ...
> Estimated Parameters Vector :
> -0.006183; 0.010761; 0.153406; 0.805877
>
>
> regards,
>
> Ian.
>
>
> - Original Message - From: "Martin Becker"
> <[EMAIL PROTECTED]>
> To: "I
To: "Ian Gregory" <[EMAIL PROTECTED]>
Cc: ; <[EMAIL PROTECTED]>
Sent: Saturday, June 16, 2007 8:31 PM
Subject: Re: [R] fSeries - Ox - ver: 240.10068 - Steps to make it work
>I think there is still a small bug which I reported some time ago to
>r-sig-finance
>(http
I think there is still a small bug which I reported some time ago to
r-sig-finance
(https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000498.html) and
which takes effect if the time series is not stored in the variable 'x':
The line
write(x, file = "OxSeries.csv", ncolumns = 1, append =
-Bugs and fixes reported to Diethelm Wuertz.
-In the interim. To make the Ox functions part of the fSeries package work
please follow the following steps.
-
1. Install R-project.
2. Install fSeries.
3. Download: http://www.core.ucl.ac.be/~laure
Dear All;
I have used fbmSim to simulate a fbm sequence, however, when I tried to
estimate the Hurst effect, none of the nine procedures gave me an answer
close enough to the real value, which is 0.5 (n=1000). So, would you please
advice,
1. which is the best method to estimate the H among the 9
Dear All;
I have used fbmSim to simulate a fbm sequence, however, when I tried to
estimate the Hurst effect, none of the nine procedures gave me an answer
close enough to the real value, which is 0.5 (n=1000). So, would you please
advice,
1. which is the best method to estimate the H among the 9
Braesch Lucas wrote:
>I'm trying to use garchFit from fSeries, with Student or Skewed Student
>conditionnal distribution. Let's say that eps (vector) is my series of daily
>log-returns:
>
>data(EuStockMarkets)
>eps = diff(log(EuStockMarkets[,"CAC"]))
>
>library(fSeries)
>g = garchFit(series = ep
I'm trying to use garchFit from fSeries, with Student or Skewed Student
conditionnal distribution. Let's say that eps (vector) is my series of daily
log-returns:
data(EuStockMarkets)
eps = diff(log(EuStockMarkets[,"CAC"]))
library(fSeries)
g = garchFit(series = eps, formula.var = ~garch(2,2), c
Julio Thomas wrote:
> Dear R-helper,
>
> I wish to implement the APARCH model as described in the fSeries
> documentation. But I get the following:
>> library(fSeries)
> [...]
>> ?aparchFit
> No documentation for 'aparchFit' in specified packages and libraries:
> you could try 'help.search("apar
Julio Thomas wrote:
> Dear R-helpers,
>
> I have just loaded the fSeries package and I wanted to run the example
> provided in the documentation of garchOxFit but I got the following:
>
> > library(fSeries)
>
>>?garchOxFit
>>library(datasets)
>>?garchOxFit
>> ## Not run:
>> ##
Dear R-helpers,
I have just loaded the fSeries package and I wanted to run the example
provided in the documentation of garchOxFit but I got the following:
> library(fSeries)
> ?garchOxFit
> library(datasets)
> ?garchOxFit
>## Not run:
> ## garchOxFit -
> # Load Benchm
Dear R-helper,
I wish to implement the APARCH model as described in the fSeries
documentation.
But I get the following:
>library(fSeries)
[...]
> ?aparchFit
No documentation for 'aparchFit' in specified packages and libraries:
you could try 'help.search("aparchFit")'
> help.search("a
fSeries rsiTA. Need help to modify function
Hello, in fSeries, the rsiTA function is this:
function (close, lag)
{
sumlag = function(x, lag) {
xs = x
for (i in 1:lag) {
x1 = c(x[1], x[1:(length(x) - 1)])
xs = xs + x1
x = x1
}
xs
}
Tom; r-help@stat.math.ethz.ch
> Subject: RE: [R] fSeries Technical Analysis rsiTA problem
>
>
> Nope, its not that.
>
> I only have one column in there. So
>
> >rsiTA(tsx[,2],14)
> Error in "[.timeSeries"(tsx, , 2) : subscript out of bounds
>
> I get
with negative subscripts
Thanks for the answer anyways.
From: "Mulholland, Tom" <[EMAIL PROTECTED]>
To: Neuro LeSuperHéros <[EMAIL PROTECTED]>,
Subject: RE: [R] fSeries Technical Analysis rsiTA problem Date: Wed, 20 Apr
2005 09:23:03 +0800
Should you be using rsiTA(tsx[,2],14).
to:[EMAIL PROTECTED] Behalf Of Neuro
> LeSuperHéros
> Sent: Wednesday, 20 April 2005 8:58 AM
> To: r-help@stat.math.ethz.ch
> Subject: [R] fSeries Technical Analysis rsiTA problem
>
>
> fSeries Technical Analysis rsiTA problem
>
> Hello,
>
> I'm trying to use t
fSeries Technical Analysis rsiTA problem
Hello,
Im trying to use the rsiTA() function but keep getting this error:
rsiTA(tsx,14)
Error in "[.timeSeries"(close, 1:(length(close) - 1)) :
only 0's may be mixed with negative subscripts
Heres is the first three lines of my data:
tsx[1:3,]
Hi!
For the person who asked about the armaFit from the fSeries
library, here is an example:
> library(its)
> x1 <- priceIts(instrument = c("^ftse"), start = "1998-01-01",
+ quote = "Close")
> fit <- armaFit(x1 ~ arima(1,1,1))
> fit
Call:
armaFit(formula = x1 ~ ari
Hi,
I am trying to use fSeries library form CRAN, especialy the armaFit
function.
armaFit(formula = x ~ arima(2, 0, 1), method = c("CSS-ML", "ML", "CSS",
"yw", "burg", "ols", "mle"), include.mean = TRUE, fixed = NULL, fracdiff.M
= 100, fracdiff.h = -1, title = "", description = "", ...)
The
Diethelm Wuertz wrote:
Tabs removed from the code, makes a nicer printout
garchSim =
function(model = list(omega = 1.0e-06, alpha = 0.1, beta = 0.8, mu = 0),
n = 100, innov = NULL, n.start = 100, start.innov = NULL, rand.gen =
rnorm, ...)
{
# Doesn't work, replace the three following t
1. Currently I'm writing a complete new GARCH package, and as long as it
is not
yet ready I have added the garch function from Adrian Trapletti's
tseries package
to the fSeries package.
2. But the error in the output you observed comes not from the "garch"
function,
it comes from my "garchSim
Hi,
see ? garch in tseries package.
library(tseries)
> garch(x)
* ESTIMATION WITH ANALYTICAL GRADIENT *
Warning: singular information
Call:
garch(x = x)
Coefficient(s):
a0 a1 b1
8.564e-07 5.000e-02 5.000e-02
Best
Vito
You wrote:
Good morning everyon
Good morning everyone,
I use for the first time the package fSeries and i try to run the example
given by Diethelm Würtz. But when i run its example which is the following
#
# Example:
# Model a GARCH time series process
#
# Description:
# PART I: Estimate GARCH models of the follow
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