[Rd] Package tseries Garch (PR#10504)
babel at centrum.sk
babel at centrum.sk
Sun Dec 9 22:45:23 CET 2007
Full_Name: Jan Troger
Version: R version 2.6.0 (2007-10-03)
OS: Windows
Submission from: (NULL) (158.193.95.57)
Version of tseries is : 0.10-12
The example(garch) doesnt work
This >>:
n <- 1100
a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients
e <- rnorm(n)
x <- double(n)
x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
for(i in 3:n) # Generate ARCH(2) process
{
x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
}
x <- ts(x[101:1100])
x.arch <- garch(x, order = c(0,2)) # Fit ARCH(2)
summary(x.arch) # Diagnostic tests
plot(x.arch)
<<
I have the same problem as it was mentioned in message id=2302, but the result
is a little bit different. The last 2 rows are :
garch> x.arch <- garch(x, order = c(0,2)) # Fit ARCH(2)
***** ESTIMATION WITH ANALYTICAL GRADIENT *****
and I have wait 20 minutes and nothing happened.Only the processor was busy on
100%
I try to change data length, also add itmax=10 , but still with the same
result.
Thanks in advance
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