[R-SIG-Finance] simple GARCH model
Mark Knecht
markknecht at gmail.com
Mon Apr 21 16:28:52 CEST 2014
On Mon, Apr 21, 2014 at 7:15 AM, Mark Knecht <markknecht at gmail.com> wrote:
> <SNIP>
>> n <- length(y)
> <SNIP>
>
>
> Tried running your code here. y is undefined. Fix that for a start.
>
> HTH,
> Mark
Additionally, it looks like when you call nl, at the bottom:
fit2 <- nlm(GarchLogL, # function call
p = c(0.1,0.1,0.1,0.8),
hessian = TRUE,
data <- data ,
iterlim = 500)
that the call to GarchLogL function isn't given any inputs. For
clarity about my comment (not your code) I'd expect to see something
more like the following with X1 & Y1 supplied?
temp1 = GarchLogL(X1,Y1)
fit2 <- nlm(temp1, # function call
p = c(0.1,0.1,0.1,0.8),
hessian = TRUE,
data <- data ,
iterlim = 500)
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