[R] fGarch

From: Paul Ossenbruggen <pjo_at_cisunix.unh.edu>
Date: Wed, 04 May 2011 16:33:12 -0400


Hi,

        I am attempting to fit a ARMA/GARCH regression model without success.

                ### ARIMA-GARCH model with regressor ###

### Time series data: A multivariate data set.
cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])] cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1))

### The following R scripts work:

(summary(no.day.fitr <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day))) (summary(no.day.fitr2 <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day,

        include.mean=FALSE)))

### ERROR: I add in the regressor "day".
(summary(no.day.fitr3 <- garchFit(dq ~ day + arma(0,3) + garch(1,1), data = cov.ts.day,

        include.mean=FALSE)))
### Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) :
### object 'formula.mean' not found

### ERROR:

day.fitr4 <- garchFit(formula.mean = dq ~ day + arma(0,3),formula.var = ~garch(1,0), data = cov.ts.day,include.mean = FALSE)
### Error in garchFit(formula.mean = dq ~ day + arma(0, 3), formula.var = ~garch(1, :
### Multivariate data inputs require lhs for the formula.
### Note: If I remove "day" I obtain the same error message.
        

        I would greatly appreciate knowing how to overcome this problem.

	Paul
	[[alternative HTML version deleted]]

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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. Received on Thu 05 May 2011 - 06:25:13 GMT

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