Re: [R] garchFit in R

From: Gabor Grothendieck <ggrothendieck_at_gmail.com>
Date: Mon 08 Jan 2007 - 13:54:04 GMT

See ?garchFit . The data argument is supposed to be of class "timeSeries" or a data frame, not of class "ts". Furthermore even if it did accept a variable of class "ts" the ts function does not take a data frame as its argument. See ?ts
Follow the examples of using garchFit here:

https://svn.r-project.org/Rmetrics/trunk/fSeries/test/runit4C.R

and also review all your code doing a ? on each function that you use, performing a class(x) on each argument, x, ensuring that each function is called with the variables of the appropriate class.

On 1/6/07, Melina Chen <weird_fritz@yahoo.com> wrote:
> Dear all,
>
> I have problem here :
> I'm using garchFit from fSeries package, here is part of the script :
> > data <- read.table("d:/data.txt")
> > a <- garchFit(~garch(1,1),ts(data))
>
> I also attached the file here. In my experience, I got my R not responding.
> I also tried with
> > a <- garchFit(~garch(1,1),ts(data*10))
> and it's worked.
>
> I wonder if something wrong with the first
>
> Thanks
>
> __________________________________________________
>
>
>
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> -0.0033808481

> 0.0011953811
> -0.0017671780
> -0.0013536206

> 0.0021716497
> -0.0027212173
> 0.0009254474
> 0.0001186313
> -0.0001581823
> 0.0001581823
> -0.0016687561
> -0.0003375012
> -0.0005514851
> -0.0006716703

> 0.0037381712
> 0.0161588870
> 0.0024851313
> -0.0066140638
> 0.0069685996
> 0.0007742447
> 0.0013657219
> 0.0056571032
> 0.0012235353
> -0.0072993172
> -0.0009045940
> -0.0021275546

> 0.0048966306
> 0.0028772465
> -0.0038202281
> 0.0003145548
> 0.0054843663
> -0.0014018046
> 0.0045095120
> -0.0025658379
> 0.0004672246
> 0.0034997200
> 0.0016845205
> -0.0052212301
> -0.0053362546

> 0.0037195105
> 0.0010754114
> -0.0010707703
> 0.0015381144
> -0.0010788895
> -0.0000788223
> -0.0046104030

> 0.0048421923
> 0.0003011414
> -0.0039826309
> -0.0106603036

> 0.0021931336
> 0.0000000000
> -0.0028834641
> 0.0008340113
> 0.0000478831
> 0.0006506859
> 0.0021080214
> 0.0017852296
> 0.0053916391
> -0.0030054126
> 0.0006498032
> -0.0039752092
> 0.0012991340
> -0.0019263839
> -0.0000760919
> -0.0013719388
> -0.0012614292

> 0.0016858593
> 0.0004240157
> 0.0002285109
> -0.0021565907
> 0.0001578131
> 0.0002676729
> 0.0009641658
> -0.0001907540
> -0.0010410847

> 0.0012318387
> -0.0021220810
> 0.0027843006
> -0.0023293790
> 0.0001531295
> -0.0008764389
> 0.0016173969
> -0.0011669833
> 0.0014773318
> 0.0039624557
> -0.0012124524
> -0.0020108353
> -0.0005816913
> -0.0001956615

> 0.0022424279
> -0.0039690190
> 0.0021178259
> 0.0013380279
> -0.0017722247
> 0.0035467168
> -0.0024596569
> -0.0012398476

> 0.0037421170
> -0.0012469585
> -0.0021466899
> -0.0009314656

> 0.0023653559
> 0.0015808339
> 0.0005304014
> 0.0026846686
> -0.0003905801
> -0.0000800417
> -0.0003485888
> -0.0016383413

> 0.0017137355
> 0.0000800921
> -0.0014013850
> 0.0029344174
> -0.0006906055
> -0.0001928139
> -0.0014323212

> 0.0014934666
> -0.0000376269
> 0.0003855214
> -0.0028288293
> -0.0001939776
> -0.0000378594
> -0.0023347181

> 0.0009410914
> 0.0011948108
> -0.0003884270
> -0.0009250961

> 0.0002326455
> -0.0025564310
> 0.0018200849
> -0.0003091623
> -0.0001237266
> -0.0016881012

> 0.0007256384
> 0.0001192324
> -0.0006155908
> 0.0000000000
> 0.0005774400
> 0.0005766733
> -0.0001238487
> 0.0032984850
> -0.0029556059
> 0.0020895108
> 0.0005302742
> 0.0000378520
> -0.0023150283
> 0.0001902214
> 0.0007410684
> -0.0006127160
> 0.0027858619
> -0.0016371350
> -0.0013912022

> 0.0011398812
> 0.0003413818
> -0.0014051777
> -0.0014860716
> 0.0004530284
> 0.0007571708
> -0.0009860103
> -0.0006776904
> -0.0001098663
> -0.0025442383

> 0.0036321222
>
> ______________________________________________
> 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.
>
>
>



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. Received on Tue Jan 09 01:00:19 2007

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