[R] GARCH (1 , 1), Hill estimator of alpha, Pareto estimator

From: Ukech U. Kidi <chuai_juok_at_hotmail.com>
Date: Fri 03 Jun 2005 - 14:25:55 EST


Dear R users,

Could you please help me out. I am in trouble as I am unable to model graphs to explain the GARCH (1 , 1) model, the Hill estimator (of alpha), and the Pareto estimator.

I just got introduce to R. I am working on a paper which must be worked from R.

You look at the difficulty I had from the text below.

[1] "DAX" "DAX_CAC" "DAX_CAC40" "Nikkei" "NSCP" "T"

[7] "Time" "x" "X" "Y1" "Y2" "Y3"

[13] "Y4"

>save.image("R:/My documents/.RData")

>library(stats)

>data(DAX_CAC)

Warning message:

Data set 'DAX_CAC' not found in: data(DAX_CAC)

>data("DAX_CAC")

Warning message:

Data set 'DAX_CAC' not found in: data("DAX_CAC")

>dax<- diff(log(DAX_CAC$DAX[1:1865]))

>m1<- garch(dax)

Error: couldn't find function "garch"

>m1<- garch(dax[1:1865])

Error: couldn't find function "garch"

>m1<- garch(dax[1:1865])

Thank you in advance,

Ukech U. kidi



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