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(no subject)
8 messages · Me, Bharat Kherwa, Amjad Ali +2 more
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.
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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.
1 day later
Look at the documentation for ugarchspec in the rgarch package. The option 'arfima' (TRUE/FALSE) is documented and rather self explanatory. Regards, -Alexios
On Jul 19, 2011, at 4:10, 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.
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"cannot open compressed file 'C:/Program Files/R/R-2.13.1/library/Rcpp/DESCRIPTION', probable reason 'No such file or directory'" Do you have the package Rcpp installed? hth, c
On 07/20/2011 08:52 AM, Amjad Ali wrote:
Hi dear, I tried to install rgrach package it couldnt make it.How to download and install it.It gives me the following error.I dont understand how deal with it.plz help in installing and then loading rgarch package. utils:::menuInstallLocal() package 'rgarch' successfully unpacked and MD5 sums checked
library(rgarch)
Error in gzfile(file, "rb") : cannot open the connection In addition: Warning messages: 1: In gzfile(file, "r") : cannot open compressed file 'C:/Program Files/R/R-2.13.1/library/Rcpp/DESCRIPTION', probable reason 'No such file or directory' 2: In gzfile(file, "rb") : cannot open compressed file '', probable reason 'No such file or directory' Regards Amjad Ali
________________________________ From: 4dscape.com<alexios at 4dscape.com> Cc: "r-sig-finance at r-project.org"<r-sig-finance at r-project.org> Sent: Wed, July 20, 2011 5:14:33 PM Subject: Re: [R-SIG-Finance] (no subject) Look at the documentation for ugarchspec in the rgarch package. The option 'arfima' (TRUE/FALSE) is documented and rather self explanatory. Regards, -Alexios 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. [[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.
You need to install certain dependencies (if you do not know how please
ask on the general R help forums).
These include:
Rcpp, RcppArmadillo, numDeriv, chron, Rsolnp, mvtnorm, Kendall, fftw
and can generally be installed with one call from within R,
e.g.
install.packages(c("Rcpp", "RcppArmadillo", "numDeriv", "chron",
"Rsolnp", "mvtnorm", "Kendall", "fftw"))
Depending on the functionality you make use of, more packages might have
to be installed.
Regards,
Alexios
On Wed, 2011-07-20 at 06:52 -0700, Amjad Ali wrote:
Hi dear, I tried to install rgrach package it couldnt make it.How to download and install it.It gives me the following error.I dont understand how deal with it.plz help in installing and then loading rgarch package. utils:::menuInstallLocal() package 'rgarch' successfully unpacked and MD5 sums checked
library(rgarch)
Error in gzfile(file, "rb") : cannot open the connection In addition: Warning messages: 1: In gzfile(file, "r") : cannot open compressed file 'C:/Program Files/R/R-2.13.1/library/Rcpp/DESCRIPTION', probable reason 'No such file or directory' 2: In gzfile(file, "rb") : cannot open compressed file '', probable reason 'No such file or directory' Regards Amjad Ali
______________________________________________________________________ From: 4dscape.com <alexios at 4dscape.com> To: Amjad Ali <amjadali_ktk at yahoo.com> Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org> Sent: Wed, July 20, 2011 5:14:33 PM Subject: Re: [R-SIG-Finance] (no subject) Look at the documentation for ugarchspec in the rgarch package. The option 'arfima' (TRUE/FALSE) is documented and rather self explanatory. Regards, -Alexios On Jul 19, 2011, at 4:10, 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.