[R] garch in tseries

[Spencer Graves]

Dear Erin:

	  I just realized I had misread your question.  Have you tried sending 
your question directly to the 'tseries' maintainer, listed with 
help(package="tseries")?

	  While I misread your question earlier, it looks to me like you could 
get what you want by first subtracting some number close to the mean or 
median, then using garchFit{fSeries}.  If you can't get that to work, 
could you please notify both Diethelm Wuertz and me?

	  Best Wishes,
	  spencer graves
###############
	  The documentation for my currently installed version of
garchFit{fSeries} indicates that the default include.mean = TRUE.

	  How do you know "it didn't work"?  With the default include.mean =
TRUE, the following took just under a minute on my IBM T-30 notebook:

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)

	  Moreover, print(fit) included a parameter 'mu' whose names suggests
that it is a mean that might not bre estimated if 'include.mean = FALSE'.

	  However, when I tried it, it went into an apparent infinite loop,
which I killed after ~15-20 minutes:

fit0 = garchFit(~arma(0,1), ~garch(1,1), series = X,
    include.mean=FALSE)

	  I got a similar potentially infinite loop from the following:

fit2 = garchFit(~arma(0,1), ~garch(1,1), series = X+100)

	  However, the following converged and estimated mu at 0.1000, as
simulated:

fit.1 = garchFit(~arma(0,1), ~garch(1,1), series = X+0.1)

	  Conclusion:  The code seems to work as documented, sometimes.
Unfortunately, it appears to have a disturbing affinity for an apparent
infinite loop, and I don't have the time now to diagnose it further.

	  hope this helps.
	  spencer graves

Erin Hodgess wrote:

> Hello again!
> 
> Is there a way to include a mean in the garch function in the
> library(tseries), please?
> 
> I tried include.mean=T in the function statement but it didn't work
> 
> thanks in advance!
> 
> R Version 2.2.1 Windows
> Sincerely,
> Erin 
> mailto: hodgess at gator.uhd.edu
> 
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