[R] garchFit from fSeries

[Spencer Graves]

Dear Erin:

The following worked for me:

library(fSeries)
# Load Time Series:
data(sp500dge)
# Vector of Compounded Returns:
x <- diff(sp500dge[,1])
# Vector of Percentage Compounded Returns:
X = 100*x

fit = garchFit(~arma(0,1), ~garch(1,1), series = X)

Version 2.3.0 (2006-04-24)
i386-pc-mingw32

attached base packages:
[1] "methods"   "stats"     "graphics"  "grDevices" "utils"     "datasets"
[7] "base"

other attached packages:
     fSeries   fCalendar     fBasics
"221.10065" "221.10065" "221.10065"
 >
	  hope this helps,
	  spencer graves
p.s.  I extracted this from "demo/xmpDWChapter34.R" in the fSeries 
package, which was mentioned under "examples" in the garchFit 
documentation.

Erin Hodgess wrote:

> Dear R People:
> 
> I'm trying to use the garchFit function from the library(fSeries)
> 
> However, R freezes every time that I use it.
> 
> Is anyone else having this problem, please?
> 
> Thanks in advance!
> 
> R Version 2.2.1 Windows.
> 
> Sincerely,
> Erin Hodgess
> Associate Professor
> Department of Computer and Mathematical Sciences
> University of Houston - Downtown
> mailto: hodgess at gator.uhd.edu
> 
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