Re: [R] garchFit from fSeries

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Wed 03 May 2006 - 10:59:19 EST

Dear Erin:

The following worked for me:

library(fSeries)
# Load Time Series:
data(sp500dge)
# Vector of Compounded Returns:
x <- diff(sp500dge[,1])
# Vector of Percentage Compounded Returns: X = 100*x

fit = garchFit(~arma(0,1), ~garch(1,1), series = X)

Version 2.3.0 (2006-04-24)
i386-pc-mingw32

attached base packages:
[1] "methods" "stats" "graphics" "grDevices" "utils" "datasets" [7] "base"

other attached packages:

     fSeries fCalendar fBasics
"221.10065" "221.10065" "221.10065"
 >

	  hope this helps,
	  spencer graves

p.s. I extracted this from "demo/xmpDWChapter34.R" in the fSeries package, which was mentioned under "examples" in the garchFit documentation.

Erin Hodgess wrote:

> Dear R People:
>
> I'm trying to use the garchFit function from the library(fSeries)
>
> However, R freezes every time that I use it.
>
> Is anyone else having this problem, please?
>
> Thanks in advance!
>
> R Version 2.2.1 Windows.
>
> Sincerely,
> Erin Hodgess
> Associate Professor
> Department of Computer and Mathematical Sciences
> University of Houston - Downtown
> mailto: hodgess@gator.uhd.edu
>
> ______________________________________________
> 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



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 Received on Wed May 03 11:03:30 2006

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.1.8, at Wed 03 May 2006 - 12:09:55 EST.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.