[R] Having trouble getting GARCH parameters (basic/newbie)

From: caffeine <p_at_dirac.org>
Date: Sun, 9 Dec 2007 21:25:32 -0800 (PST)

I'm having no luck getting GARCH parameter estimations. It seems simple enough, but I don't know what I'm doing. I'm a newbie both at R and GARCH models, so whatever is going wrong, it's probably very basic. Here's what I do:

  1. I first load the tseries package with:

   library("tseries")

2. I then load the data with:

   g <- read.table("test.csv", header=T)   

3. It appears to work because I can print the data (a "hello world" type dataset with only 5 datapoints):

> g

         Data

   1 0.002337
   2 0.010037
   3 0.007608
   4 0.005620
   5 0.006050

4. Looks good. So now I try to get the parameters of a fitted GARCH(1,1) model:

> gFit <- garch( g, order=c(1,1) )

Here's where the problem is. R returns:

and that's it. No further output is generated; R just sits there. My dataset had 5000 elements, but R just hung there after printing the above message. So I cut the dataset down to 100 elements, and then down to just 5 elements.

I'm pretty sure 5 elements should be a snap for R; I think the estimation would be done in seconds, so something is definitely wrong.

Help?

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Received on Mon 10 Dec 2007 - 05:34:05 GMT

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