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

[alexios]

The 'official' Rsolnp package is part of the Rino package on r-forge, 
which a search in R or google reveals(http://lmgtfy.com/?q=Rsolnp).

http://r-forge.r-project.org/projects/rino/

Regards,
-Alexios Ghalanos

On 1/24/2010 2:39 PM, Guillaume Yziquel wrote:
> 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,
>