Re: [R] fSeries - Ox - ver: 240.10068 - Steps to make it work

From: Martin Becker <martin.becker_at_mx.uni-saarland.de>
Date: Sat, 16 Jun 2007 13:54:48 +0200

Line number 55 in the original mail from 2005 was a reference to garchOxFit (not .garchOxFit) in fSeries version 220.10063 (not 240.10068), as mentioned in
https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000498.html . Of course, in the current version of .garchOxFit, the line number has changed, but the line should still be there, and if .garchOxFit has less than 55 lines, it should be easy to find. Does your example still work, if you don't have a variable 'x' visible to garchOxFit (in your environment/search path)? I suppose garchOxFit just uses the series stored in 'x' (in your current workspace) instead of 'IanSeries' (which is even worse than aborting...).

Regards,

  Martin

Ian Gregory schrieb:
> I tried the following and it works for me (after the changes to make):
>
> library(fSeries)
> data(dem2gbp)
> IanSeries = dem2gbp[, 1]
> garchOxFit(~garch(1,1),IanSeries)
>
> Any writing of data is performed in the GarchOxModelling.ox file.
> The number of lines of code in the function .garchOxFit() does not appear
> to go up to 55. When using: edit(garchOxFit).
>
> I get for the output from the estimation to be:
>
> .......
> .......
> Estimated Parameters Vector :
> -0.006183; 0.010761; 0.153406; 0.805877
>
>
> regards,
>
> Ian.
>
>
> ----- Original Message ----- From: "Martin Becker"
> <martin.becker_at_mx.uni-saarland.de>
> To: "Ian Gregory" <ian_at_iangregory.com>
> Cc: <r-help_at_stat.math.ethz.ch>; <wuertz_at_itp.phys.ethz.ch>
> 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
>> (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 = TRUE)
>>
>> in .garchOxFit() (fSeries version 240.10068) should read
>>
>> write(x = series, file = "OxSeries.csv", ncolumns = 1, append = TRUE)
>>
>> instead.
>>
>> Incorporating the changes for OX-G_at_RCH4.2 could be a good occasion to
>> fix this as well :-)
>>
>> Regards,
>>
>> Martin
>>
>>
>> Ian Gregory wrote:
>>> -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.
>>>
>>>
>> [snip]
>>
>>



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