Re: [R] Garchoxfit package

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Mon, 28 Mar 2011 09:42:56 +0100

Dear Ning,

are you referring to the deprecated function garchOxFit() of the package fGarch, formerly contained in fSeries? If so:

library(sos)
findFn("garchOxFit")

which yields:

        http://finzi.psych.upenn.edu/R/library/fGarch/html/00fGarch-package.html

And there you will find at the bottom of the page:

OX Interface

NOTE: garchOxFit is no longer part of fGarch package. If you are interested to use, please contact us.

contains a Windows interface to OX.

The function garchOxFit interfaces a subset of the functionality of the G_at_ARCH 4.0 Package written in Ox. G_at_RCH 4.0 is one of the most sophisticated packages for modelling univariate GARCH processes including GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH, FIAPARCH and HYGARCH models. Parameters can be estimated by approximate (Quasi-) maximum likelihood methods under four assumptions: normal, Student-t, GED or skewed Student-t errors.

Furthermore, do you have Ox installed on your PC?

        http://www.doornik.com/products.html

Best,
Bernhard

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces_at_r-project.org
> [mailto:r-help-bounces_at_r-project.org] Im Auftrag von Ning Cheng
> Gesendet: Sonntag, 27. März 2011 05:16
> An: r-help_at_r-project.org
> Betreff: [R] Garchoxfit package
>
> Dear List,
> I'm now using Ubuntu 10.10 and I want to use the garchoxfit
> function.It seems that I need to download the package.
>
> While after installing the package,I still can't use the
> garchoxfit function.What's the reason and how to fix that?
>
> Thanks for your time!
>
> Best,
> Ning
>
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