[R-SIG-Finance] Help with ugarchfit in rgarch library to estimate egarch (or igarch) models

[4dscape.com]

Hi,
Try:
stock.ba.egarch <- ugarchfit(spec, stock.ba)
else make sure to pass the arguments named.

Regards,
Alexios Ghalanos

Sent from my iPhone

On May 27, 2010, at 9:21 PM, Richard Herron  
<richard.c.herron at gmail.com> wrote:

> I am trying to use ugarchfit() in the rgarch library but regardless of
> the class of stock.ba (e.g., unclassed, ts, zoo, xts), which is a ts
> object of monthly stock returns (single stock) and I would like to fit
> an eGARCH model, but I keep getting this error using a new install of
> rgarch in R 2.10.1:
>
>> stock.ba.egarch <- ugarchfit(stock.ba, spec)
> Error in UseMethod("ugarchfit") :
>   no applicable method for 'ugarchfit' applied to an object of class  
> "ts"
>
> Here's the (relevant) code
>
> stock.ba <- window(stock, start=c(1831, 1), end=c(2010, 2))
> spec <- ugarchspec(variance.model = list(model = "eGARCH"))
> stock.ba.egarch <- ugarchfit(stock.ba, spec)
>
> Thanks!
>
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