[R-SIG-Finance] MAR-ARCH

[Jeff Ryan]

While Dirk is correct in that the mgarchBEKK is _NOT_ MAR-GARCH, it
_IS_ an mgarch implementation... (which is worth something)

And I did get it to install and run with two fixes.  I have NO idea if
the results it produces are worth anything (and it chews up resources,
so I won't be spending any time to figure out).

But for those interested - windows users will need to adapt the
following (or switch to unix/linux/mac)...actually it *may* only work
on *nix boxes.


1. Download the most recent version from

http://www.vsthost.com/vstDocs/mgarchBEKK/release/mgarchBEKK_0.07-8.tar.gz

2. untar/zip
tar xzf mgarchBEKK_0.07-8.tar.gz

3. Fix _at_least_:
mvBEKK.est
line 475 has a trailing comma in the list of returned values after
residuals. - get rid of

mvBEKK.sim
line 252 has a trailing comma in the list of returned values AS WELL.
- just delete it

4. tarball back up for R CMD
tar czf mgarchBEKK_0.07-8.tar.gz mgarchBEKK

5. R CMD INSTALL mgarchBEKK_0.07-8.tar.gz


and happy mgarchBEKKing...

Jeff

My guess is it was breaking because previous R versions *may* have
been more lenient with the extra comma.  Too lazy to further
investigate though : )

On 10/21/07, Ajay Shah <ajayshah at mayin.org> wrote:
> On Sun, Oct 21, 2007 at 09:47:58AM -0500, Jeff Ryan wrote:
> > That's unfortunate.  Did you try and it fails - or did you read that
> > elsewhere.  Do you know why?  Can't be that hard to fix I'd assume.
>
> I've tried many times to reinstall and it does not work. I've tried
> asking on this mailing list. I've tried sending mail to one author.
>
> It must be something small. It worked till 2.4 and then stopped working.
>
> --
> Ajay Shah                                      http://www.mayin.org/ajayshah
> ajayshah at mayin.org                             http://ajayshahblog.blogspot.com
> <*(:-? - wizard who doesn't know the answer.
>