NAs for GARCH
Here is what my data looks like, after I try to remove the NAs, but I still get an error message for GARCH, any suggestion as to how I can index this. The data is irregular daily returns, and I would like to fit a GARCH type model, but I am not sure how to apply zooreg or ts
The raw data in CSV format
2/5/2001
0.29
2/6/2001
0.35
2/7/2001
0.31
2/8/2001
0.26
2/9/2001
0.26
2/12/2001
0.36
2/13/2001
0.43
2/14/2001
0.47
2/15/2001
0.34
z1 <- read.zoo("pp.csv", sep = " ", format = "%m/%d/%y")
and apply
na.locf(z1)
Time Series: Start = 11358 End = 13426 Frequency = 1 [1] 0.291 0.354 0.310 0.262 0.261 0.261 0.261 0.355 0.427 0.473 0.340 [12] 0.158 0.158 0.158 0.158 0.021 0.032 -0.103 -0.103 -0.103 -0.103 -0.103 [23] -0.208 -0.165 0.021 -0.078 -0.078 -0.078 -0.035 -0.020 0.065 0.065 -0.022 [34] -0.022 -0.022 -0.024 -0.127 -0.127 0.000 0.152 0.152 0.152 0.464 0.392 [45] 0.237 0.178 0.069 0.069 0.069 -0.053 0.041 0.099 0.111 0.157 0.157 [56] 0.157 0.390 0.397 0.172 0.179 0.068 0.068 0.068 0.151 0.318 0.396 [67] 0.452 0.452 0.452 0.452 0.307 0.157 0.102 -0.120 -0.074 -0.074 -0.074 [78] 0.069 0.028 0.043 0.206 0.199 0.199 0.199 0.141 0.066 0.085 -0.028 [89] -0.053 -0.053 -0.053 0.068 0.094 0.130 0.084 -0.050 -0.050 -0.050 -0.129 <!-- D(["mb"," [100] -0.147 -0.113 0.087\n 0.050 0.050 0.050 0.120 0.104 0.104\n-0.051 -0.148\u003c/font\>\n\u003cbr\>\n\u003cbr\>\u003cfont size\u003d\"2\" face\u003d\"sans-serif\"\>> garch(z1, order \u003d c(1, 1), coef\n\u003d NULL, itmax \u003d 200, eps \u003d NULL,grad \u003d c("analytical","numerical"),\nseries \u003d NULL, trace \u003d TRUE)\u003c/font\>\n\u003cbr\>\u003cfont size\u003d\"2\" face\u003d\"sans-serif\"\>Error in garch(z1, order \u003d c(1, 1),\ncoef \u003d NULL, itmax \u003d 200, eps \u003d NULL, : \u003c/font\>\n\u003cbr\>\u003cfont size\u003d\"2\" face\u003d\"sans-serif\"\> NAs in x\u003c/font\>\n\u003cbr\>\n--\u003d_alternative 007F353B8825729C_\u003d--",0] ); D(["ma",[1,"\u003ctable class\u003datt cellspacing\u003d0 cellpadding\u003d5 border\u003d0\>\u003ctr\>\u003ctd colspan\u003d2\>\u003cb style\u003dpadding-left:3\>2 attachments\u003c/b\> — Scanning for viruses...\u003ctr\>\u003ctd\>\u003ctable cellspacing\u003d0 cellpadding\u003d0\>\u003ctr\>\u003ctd\>\u003cimg width\u003d16 height\u003d16 src\u003d\"/mail/images/generic.gif\"\>\u003ctd width\u003d7\>\u003ctd\>\u003cb\>gas.csv\u003c/b\>\u003cbr\>30K \u003c/table\>\u003ctr\>\u003ctd\>\u003ctable cellspacing\u003d0 cellpadding\u003d0\>\u003ctr\>\u003ctd\>\u003cimg width\u003d16 height\u003d16 src\u003d\"/mail/images/generic.gif\"\>\u003ctd width\u003d7\>\u003ctd\>\u003cb\>pp.csv\u003c/b\>\u003cbr\>23K \u003c/table\>\u003c/table\>","1114869f291fd79d"] ] ); //--> [100] -0.147 -0.113 0.087 0.050 0.050 0.050 0.120 0.104 0.104 -0.051 -0.148
garch(z1, order = c(1, 1), coef
= NULL, itmax = 200, eps = NULL,grad = c("analytical","numerical"),
series = NULL, trace = TRUE)
Error in garch(z1, order = c(1, 1),
coef = NULL, itmax = 200, eps = NULL, :
NAs in x
--=_alternative 007F353B8825729C_=--
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1. Re: Error in read.zoo (Achim Zeileis)
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Message: 1
Date: Sun, 11 Mar 2007 12:24:26 +0100 (CET)
From: Achim Zeileis <Achim.Zeileis at wu-wien.ac.at>
Subject: Re: [R-SIG-Finance] Error in read.zoo
Cc: r-sig-finance at stat.math.ethz.ch
Message-ID: <Pine.LNX.4.64.0703111221430.17202 at eowyn>
Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed
On Sat, 10 Mar 2007, Rich Ghazarian wrote:
I get the following error and don't know how to get around this?
z <- read.zoo("pp.csv", sep = " ", format = "%m/%d-%y")
Error in read.zoo("pp.csv", sep = " ", format = "%m/%d-%y") :
index contains NAs
My Data looks like this
Does this mean that there is no data? ;-) More seriously, we would need an example to say anything useful. Z
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