Dear R gurus,
Could somebody enlighten me on how to estimate the parameters of ARCH
process?
I tried both garchFit and garch functions, but no one works for me.
R version 2.6.1, Windows
library(fGarch)
set.seed(5)
# simulate ARCH(3)
rr=garchSim(model = list(alpha = c(0.1,0.2,0.6)),n=400)
rrm=rr-mean(rr)
fit = garchFit(~garch(3, 0), data = rrm)
# ends in Error in solve.default(fit$hessian) :
# Lapack routine dgesv: system is exactly singular
library(tseries)
summary(garch(rrm, order = c(0,3)))
# never ends
In fact, the example given in the garch function Examples section does not
work too.
Many thanks,
Remi
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
