Having trouble getting GARCH parameters (basic/newbie)
You are probably using Windows: you didn't say. If so, this is a known bug in the tseries package: it uses Fortran I/O and that fails in Rgui. The fix (until the package is updated) is to use Rterm instead.
On Sun, 9 Dec 2007, caffeine wrote:
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: ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** 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?
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595