[R] fSeries - Ox - ver: 240.10068 - Steps to make it work

[Ian Gregory]

I tried the following and it works for me (after the changes to make):

library(fSeries)
data(dem2gbp)
IanSeries = dem2gbp[, 1]
garchOxFit(~garch(1,1),IanSeries)

Any writing of data is performed in the GarchOxModelling.ox file.
The number of lines of code in the function .garchOxFit() does not appear
to go up to 55.  When using:  edit(garchOxFit).

I get for the output from the estimation to be:

.......
.......
Estimated Parameters Vector :
-0.006183; 0.010761; 0.153406; 0.805877


regards,

Ian.


----- Original Message ----- 
From: "Martin Becker" <martin.becker at mx.uni-saarland.de>
To: "Ian Gregory" <ian at iangregory.com>
Cc: <r-help at stat.math.ethz.ch>; <wuertz at itp.phys.ethz.ch>
Sent: Saturday, June 16, 2007 8:31 PM
Subject: Re: [R] fSeries - Ox - ver: 240.10068 - Steps to make it work


>I think there is still a small bug which I reported some time ago to 
>r-sig-finance 
>(https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000498.html) and which 
>takes effect if the time series is not stored in the variable 'x':
>
> The line
>
>    write(x, file = "OxSeries.csv", ncolumns = 1, append = TRUE)
>
> in .garchOxFit() (fSeries version 240.10068) should read
>
>    write(x = series, file = "OxSeries.csv", ncolumns = 1, append = TRUE)
>
> instead.
>
> Incorporating the changes for OX-G at RCH4.2 could be a good occasion to fix 
> this as well :-)
>
> Regards,
>
>  Martin
>
>
> Ian Gregory wrote:
>> -Bugs and fixes reported to Diethelm Wuertz.
>> -In the interim.  To make the Ox functions part of the fSeries package 
>> work please follow the following steps.
>>
>>
> [snip]
>
>