(no subject)
Dear Amjad
Try these:
#install.packages("fracdiff")
library(fracdiff);
# FYI:
You can simulate ARFIMA this way:
z1<-fracdiff.sim(512,ar=c(0.21,0.2),d=0.3);
#using :
fit<-fracdiff(data1,nar=3,nma=3,h=.Machine$double.eps); # the last
parameter is some machine dependency
summary(fit);
hope it helps,
Bharat
On Mon, Jul 18, 2011 at 8:10 PM, Amjad Ali <amjadali_ktk at yahoo.com> wrote:
Hi In the rgarch package I could not find the codes for simultaneous fitting of Autoregressive fractionally integrated Moving average model with GARCH errors i.e ARFIMA(p,d,q)-GARCH(r,s) model.in fGarch package the codes for fitting arma(p,q)-GARCH(r,s) is available but not for ARFIMA(p,d,q)-GARCH(r,s) . Please help in this regrad Regards Amjad Ali
________________________________ From: soren wilkening <me at censix.com> To: r-sig-finance at r-project.org Sent: Mon, July 18, 2011 11:52:18 PM Subject: Re: [R-SIG-Finance] (no subject) You could use the 'rgarch' package. Does everything you want and more. (of course there are alternatives as well) Soren ----- http://censix.com -- View this message in context: http://r.789695.n4.nabble.com/no-subject-tp3676098p3676133.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ? ? ? ?[[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.