[R-SIG-Finance] Problem with function "garchFit" (fSeries)

[Brian G. Peterson]

Mathias Slansky wrote:
> I have a problem with the function "garchFit" of the package "fSeries". When I try to fit the garch model, the system goes to an endless loop and I don´t get a result. 
> 
> here´s what I wrote:
> 
> garchFit(formula= ~garch(1,1), series = corb, include.mean=T)
> 
> hope you con help me... thanks!

garchFit can take a very long time with a large series: long enough that 
I sometimes use it on a large fast server rather than on my laptop.

Have you tried with include.mean=FALSE ?  This will speed things up, and 
may let you know if you are on the right track, and it is worth letting 
the computer think for potentially a very long time.

Have you tried with a different algorithm? The algorithms have different 
performance characteristics.

Have you read the garch paper posted on the RMetrics website?
It has some additional suggestions on speeding the process.


Regards,

   - Brian