[R] Transformation of data!

Hi Colleagues, Could you please help? I get as the output of my calculations following [1] 0.00e+00 1.89e-04 3.933000e-05 1.701501e-04 2.040456e-04 [6] 3.119242e-04 2.545665e-04 1.893930e-03 1.303112e-03 9.880183e-04 [11] 1.504378e-03 1.549246e-03 5.877690e-04 4.771

[R] Is it possible to use EGARCH and GJR in R?

Hi, Could you please help me with EGARCH and GJR? Is it possible to use EGARCH and GJR in R? I have used below mentioned code for GARCH in R, but I never used EGARCH and GJR in R. Thank you in advance! daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T) DAX.ku

[R] Error in Rolling window of function - rollapply

Dear Colleagues, I have faced with the problem that function rollaply with rolling window for calculation of volatility doesn't give the all results of calculations. I have run the rolling window for calculation in Excel and obtained that the number of outputs for Excel is 36 and for R is 18. The

[R] Quantitative Risk Management by McNeil

Dear Specialists in R, May be somebody has experiment in using pakage for the book Quantitative Risk Management by McNeil? This package is writen in R. I have run this package for fitting the data to Nornal Inverse Gaussian distribution and fased with following problem. > Return<-read.csv("data

[R] (no subject)

Hi, Could you please help me? I am trying to load an csv-file in R, but it works wrong! My data is 0,0127 -0,0016 0,0113 0,0037 -0,0025 > Ret<-read.csv("Ret.csv") > Ret X0 X0127 1 016 2 0 113 3 037 4 025 Thank you in advance! -- Best regards, Andy [[alte

[R] (no subject)

Hi Guys, It is very simple question, but I can't find the answer! Please help me. I use R and such simple function as length() doesn't work. The result is always 1 even if my data are more then 1 observations! Do I have to load any additional library? > length(Ret_1) [1] 1 > length function (x)

Re: [R] (no subject)

Hi, I am trying to calculate the volatility on not overlapping basis. Do you know functions for not overlapping calculation? It is like to take first 20 observations and apply st.dev to 20 and then take next 20 observations and calculate st. deviation. I tried with function rollapply(), but it d

[R] (no subject)

Hi, 1.) I am trying to calculate the autocorrelation function for returns based on rolling window, but it doesn't work. My code is rollapply(Returns,20,acf). 2.) My next try is rollapply(Returns_2,20,cor) Error in FUN(cdata[st, i], ...) : supply both 'x' and 'y' or a matrix-like 'x' Thank y

[R] function rollapply

Hi, I faced with problem when start using function - rollapply(returns, 3 , mean) Error in UseMethod("rollapply") : No suitable Method for "rollaply" How can I fix the problem? Thank you for help. -- Best regards, Andy Fetsun [[alternative HTML version deleted]] ___