[R-SIG-Finance] How to extract all VaR values?

[Guillaume Yziquel]

Brian G. Peterson a écrit :
> On list. Thanks. I'll take a look at it in a bit if no one beats me to it.
> 
> - Brian
> 
> -------- Original Message --------
> Subject:     Re:Re: [R-SIG-Finance] How to extract all VaR values?
> Date:     Sat, 23 Jan 2010 22:35:51 +0800 (CST)
> From:     邓一硕 <dengyishuo at 163.com>
> To:     Brian G. Peterson <brian at braverock.com>
> References:     <4B5B054F.5090207 at braverock.com> 
> <1264255303705-1288195.post at n4.nabble.com>
> 
> 
> 
> library(rgarch)
> data(sp500ret)
> ctrl = list(RHO = 1,DELTA = 1e-9, MAJIT = 100,MINIT = 650,TOL = 1e-7)
> 
> spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = 
> c(1,1)),         mean.model = list(armaOrder = c(0,0), include.mean = 
> TRUE),         distribution.model = "std")

Hi.

I've just tried using rgarch, and it seems to me that there are a few 
issues with the package. I'm installing the package from R-forge:

>> install.packages("rgarch",repos="http://R-Forge.R-project.org")
> Avis dans install.packages("rgarch", repos = "http://R-Forge.R-project.org") :
>   l'argument 'lib' manque : '/home/yziquel/R/x86_64-pc-linux-gnu-library/2.10' est utilisé
> also installing the dependency ‘Rsolnp’
> 
> essai de l'URL 'http://R-Forge.R-project.org/src/contrib/Rsolnp2_0.3.tar.gz'
> Content type 'application/x-gzip' length 120837 bytes (118 Kb)
> URL ouverte
> ==================================================
> downloaded 118 Kb
> 
> essai de l'URL 'http://R-Forge.R-project.org/src/contrib/regr0_1.0.tar.gz'
> Content type 'application/x-gzip' length 114317 bytes (111 Kb)
> URL ouverte
> ==================================================
> downloaded 111 Kb
> 
> * installing *source* package ‘Rsolnp2’ ...
> ** R
> ** inst
> ** preparing package for lazy loading
> ** help
> *** installing help indices
> ** building package indices ...
> * DONE (Rsolnp2)
> * installing *source* package ‘regr0’ ...
> ** R
> ** data
> ** preparing package for lazy loading
> ** help
> Avis : ./man/drop1.regr.Rd:30: unknown macro '\lind'
> *** installing help indices
> ** building package indices ...
> * DONE (regr0)
> 
> Les packages téléchargés sont dans
> 	‘/tmp/Rtmp0M6Zuj/downloaded_packages’
>> library(rgarch)
> Erreur dans library(rgarch) : aucun package nommé 'rgarch' n'est trouvé

So I tried to check the availability of the dependencies:

>> library(stats)
>> library(graphics)
>> library(methods)
>> library(Matrix)
> Le chargement a nécessité le package : lattice
>> library(chron)
>> library(Rsolnp)
> Erreur dans library(Rsolnp) : aucun package nommé 'Rsolnp' n'est trouvé
>> library(Rsolnp2)
>> library(sandwich)
> Le chargement a nécessité le package : zoo

In the rgarch repository, I see that rgarch depends on Rsolnp:

http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/pkg/DESCRIPTION?rev=143&root=rgarch&view=markup

But somehow, on the Net, I only see things concerning Rsolnp2, which is 
available in the Rmetrics package. Moreover, in the Rmetrics repository, 
you have:

http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/pkg/Rsolnp2/IMPORTANT?rev=4479&root=rmetrics&view=markup

> new package Rsonlp2 from Alexios and Stefan added
> 
> This solver will be withdrawn from Rmetrics as soon as the solver package
> Rsonlp written by Alexios Ghalanos and Stefan Theussl will be released to
> CRAN.
> 
> Diethelm Wuertz

But Rsolnp is nowhere to be seen.

So am I hitting a real issue getting rgarch to work on my Debian R 
system? Or, plainly, how do you get rgarch working?

All the best,

-- 
      Guillaume Yziquel
http://yziquel.homelinux.org/