Diethelm,

Thank you very much for your time. I will look into using the updated code,
or I might
just use something similar to the code in the garchOxFit function for
problem runs.
Does there exist a zipped version of the latest version, or do I have to set
up a toolkit for
building the package from the latest sources?

Many thanks,

Monty


On 4/16/06, Diethelm Wuertz <wuertz@itp.phys.ethz.ch> wrote:
>
> GARCH-Modelling is not easy, and indeed for your dataset the default
> "Sequential Quadratic Programming" solver doesn't converge. I observed
> this also for some other time series. There is already an updated
> version on
> the server, https://svn.r-project.org/Rmetrics/trunk/fSeries/ which uses
> improved
> control parameter settings as default values. With this version there
> exist
> no convergence problems. What can you do? Download the updated
> version from the repository, or just use the alternative optimization
> "nlminb"
> until the next version of "Rmetrics" becomes published.
>
> regards Diethelm Wuertz
>
>
> garchFit() # Update - Default Settings
>           Estimate  Std. Error  t value   Pr(>|t|)
> mu       -0.016772    0.020792    -0.807     0.4199
> omega     0.008898    0.004055     2.194     0.0282 *
> alpha1    0.047233    0.011134     4.242   2.21e-05 ***
> beta1     0.936329    0.014828    63.146    < 2e-16 ***
> Log Likelihood:
> 1045.871    normalized:  1.045871
>
>
> garchFit(algorithm = "nlminb") # Current Version
>          Estimate  Std. Error    t value   Pr(>|t|)
> mu       -0.016772    0.020793    - 0.807     0.4199
> omega     0.008898    0.004055     2.194     0.0282 *
> alpha1    0.047233    0.011134     4.242   2.21e-05 ***
> beta1     0.936329    0.014828    63.145    < 2e-16 ***
> Log Likelihood:
> 1045.871     normalized:  1.045871
>
>
> garchOxFit()
> Coefficient(s):
>              Value   Std.Error    t.value
> Cst(M)   -0.0166990   0.0207920   -0.80315
> Cst(V)    0.0089064   0.0040545    2.19670
> ARCH(1)   0.0472270    0.0111270    4.24430
> GARCH(1)  0.9362900   0.0148290   63.13900
>
>
>
>
> Monty B. wrote:
>
> >Thanks to Sean and Diethelm for pointing out that the link was not
> working.
> >
> >The data can be found here:
> >
> >http://host-a.net/getfile.php?usern=upppload&file=fGARCH_crash.csv
> >(click in the yellow box to receive file)
> >
> >Sorry about the quirky download site. It was the best I could do right
> now..
> >
> >
> >Many thanks,
> >
> >Monty
> >
> >
> >On 4/16/06, Monty B. < montezumasrevenge@gmail.com> wrote:
> >
> >
> >>Dear all,
> >>
> >>I am fitting garch models to a sliding window of observations of the
> >>USD/NOK exchange rate. I've been provided with the Ox/G@RCH package,
> >>but I am not entirely happy with it's scriptability, so I thought I
> >>would give fSeries a go. The package seems to work well for some
> >>series, but for others, it locks up R.
> >>
> >>This code:
> >>
> >>library(fSeries)
> >>y <- read.table("fGARCH_crash.csv")
> >>fg <- garchFit(formula.mean =~ arma(0,0), formula.var =~ garch(1,1),
> >>                cond.dist = "dnorm", y, trace=T, title="USD vs NOK")
> >>
> >>and the file:
> >>
> >>
> >>http://us.f13.yahoofs.com/bc/44422dee_a419/bc/My+Documents/fGARCH_crash.csv?bfcOjQEBfGO1k9on
> >>
> >>makes R crash giving no output when the default settings are used.
> >>Changing the algorithm to "nlminb" seems to provide estimates. BUT, I
> >>am a bit skeptical about changing defaults when I do not know what the
> >>difference between sqp and nlminb is.
> >>
> >>Any suggestions? Should I use the non-default optimization? Can anyone
> >>refer me to literature on what the difference is? Will the parameter
> >>estimates be of worse quality?
> >>
> >>BTW: I am using R for windows 2.2.1. I have tested both the standard
> >> 2.2.1 and the patched 2.2.1 versions with this code.
> >>
> >>Thanks for any input,
> >>
> >>cheers,
> >>
> >>Monty
> >>
> >>
> >>
> >
> >       [[alternative HTML version deleted]]
> >
> >_______________________________________________
> >R-sig-finance@stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >
> >
> >
>
>

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