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
>

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