[R] fGarch

[Andrew Robinson]

Hi Paul,

I suggest that you should send us commented, minimal, self-contained,
reproducible code.

That means, in essence, developing the simplest possible
representation of your problem.  In the process of developing the
simplest possible representation, you may learn more about the
problem.  Maybe even solve it.  

Even if you don't, then you enable us to make a much better
contribution, because we can actually try out our suggestions before
sending them.

With what you sent here, all we can do is speculate.

Cheers,

Andrew

On Wed, May 04, 2011 at 04:33:12PM -0400, Paul Ossenbruggen wrote:
> Hi,
> 
> 	I am attempting to fit a ARMA/GARCH regression model without success.
> 
> 		### ARIMA-GARCH model with regressor ###
> 
> ### Time series data: A multivariate data set.
> cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])]
> cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1))
> 
> ### The following R scripts work:
> (summary(no.day.fitr <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day)))
> (summary(no.day.fitr2 <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day,
> 	include.mean=FALSE)))
> 
> ### ERROR: I add in the regressor "day".
> (summary(no.day.fitr3 <- garchFit(dq ~ day + arma(0,3) + garch(1,1), data = cov.ts.day,
> 	include.mean=FALSE)))
> ### Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) : 
> ###  object 'formula.mean' not found
> 
> ### ERROR: 
> day.fitr4 <- garchFit(formula.mean = dq ~ day + arma(0,3),formula.var = ~garch(1,0), data = cov.ts.day,include.mean = FALSE)
> ### Error in garchFit(formula.mean = dq ~ day + arma(0, 3), formula.var = ~garch(1,  : 
> ### Multivariate data inputs require lhs for the formula.
> ### Note: If I remove "day" I obtain the same error message.
> 	
> 	I would greatly appreciate knowing how to overcome this problem.
> 
> 	Paul
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

-- 
Andrew Robinson  
Program Manager, ACERA 
Department of Mathematics and Statistics            Tel: +61-3-8344-6410
University of Melbourne, VIC 3010 Australia               (prefer email)
http://www.ms.unimelb.edu.au/~andrewpr              Fax: +61-3-8344-4599
http://www.acera.unimelb.edu.au/

Forest Analytics with R (Springer, 2011) 
http://www.ms.unimelb.edu.au/FAwR/
Introduction to Scientific Programming and Simulation using R (CRC, 2009): 
http://www.ms.unimelb.edu.au/spuRs/