[R-SIG-Finance] Estimating the T-S Garch model

John Frain frainj at tcd.ie
Tue May 6 23:28:30 CEST 2008

This script does not appear to work for me.  I have already loaded
fGarch 270.73 and when I try to run the script followed by the call to
the 'iinstall' program i get the error message below. (I have ran the
script from the internet and also downloaded it to my PC and the
result is the same).  |Packages|Update packages| works in the windows
GUI.  My version of fUnitRoots is 260.72 and it will not update.  I
had previously tried to download the zipped file for fUnitRoots and
failed.  I tried again this evening and failed again.  (I have
downloaded all the remaining Rmetrics files at this stage).

Best regards


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> source("H:\\Archives\\software_econometric\\R\\R-2.7.0\\Rmetrics\\installRmetrics.R")
> installRmetrics("fGarch", repos="http://R-Forge.R-project.org")
Error in FUN("fGarch"[[1L]], ...) : subscript out of bounds

2008/5/6 Yohan Chalabi <chalabi at phys.ethz.ch>:
> >>>> "MM" == michal miklovic <mmiklovic at yahoo.com>
>  >>>> on Thu, 1 May 2008 14:58:29 -0700 (PDT)
>    MM> it is a bug and it has already been solved in the
>    MM> development version of fGarch. Rmetrics development web is
>    MM> at: http://r-forge.r-project.org/projects/rmetrics
>    MM> where you can find the latest versions of all
>    MM> packages. Download the zipped Windows binaries and install
>    MM> them in the following order:
>    MM> fUtilities, fEcofin, fCalendar, fSeries, fImport, fBasics,
>    MM> fBonds, fArma, fGarch, fTrading, fExtremes, fNonlinear,
>    MM> fOptions, fAsianOptions, fExoticOptions, fUnitRoots,
>    MM> fMultivar, fCopulae, fRegression, fAssets, fPortfolio,
>    MM> Rmetrics
>    MM> and the estimation should work fine.
>  Note you can use the script installRmetrics to install "fGarch"
>  development package with
>  source("http://rmetrics.R-Forge.R-project.org/installRmetrics.R")
>  installRmetrics("fGarch", repos="http://R-Forge.R-project.org")
>  Or any other Rmetrics development package...
>  regards,
>  Yohan
>  --
>  PhD student
>  Swiss Federal Institute of Technology
>  Zurich
>  www.ethz.ch
>  www.rmetrics.org
>  NOTE:
>  Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
>  June 29th - July 3rd Meielisalp, Lake Thune, Switzerland

John C Frain
Trinity College Dublin
Dublin 2
mailto:frainj at tcd.ie
mailto:frainj at gmail.com

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