[R] Logreturn variance in Heston model

I have to calculate the logreturn variance in the Heston model. How can I do? Do you know some function that calculates it? Thank you Barbara -- Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservat

Re: [R] GARCH model estimation

es it estimate three parameters (for example if the model is GARCH(1,1)) in every day? Thanks for your help. 2015-08-04 19:25 GMT+02:00 Barbara Rogo : > I have to estimate the volatility of FTSE/MIB index with a GARCH model > from 2012-06-21 to 2015-04-30, in every day. I use garchFit func

[R] GARCH model estimation

I have to estimate the volatility of FTSE/MIB index with a GARCH model from 2012-06-21 to 2015-04-30, in every day. I use garchFit function, but I don't understand the meaning of se.coef output. Does this function estimate the volatility in every day of the time series (in input)? So does it estima

[R] linear programming

I have this problem with this form: min (A*X) under some constraints. the unknown is X that is a Matrix. I can't use the function "linp" because in it X is a vector.. How can I do??? Can you help me [[alternative HTML version deleted]] __

[R] Plot with date

I have to built a graphic with a time series of returns, but it have not a frequency (for example monthly in one year). On the x of the graphic I need to see only the year and not all the date (for example, "1996-01-02" , 1996). How I can do this Thank you [[alternative HTML version de

[R] vector of dates

I have to construct a vector of date with a cycle "for". I use the function "seq", but when I allocate in a vector, this becomes a number!!! How do I have? thank you Example: dataval=as.Date("2011/07/01") date_val=seq(dataval,length=260,by="-7 day") date_inizio=c() date_con

[R] Entire part of number

What is the function to have the entire part of a number? [[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-gu

[R] WORK AREA TO SAVE

I have lost the work of 2 days for problems to my pc. Can I get back it? [[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.

[R] (senza oggetto)

I have the y-axe in a grafich that has as extreme limit 0.00 and 1.50. "plot" gives me the interval 0.0, 0.5,1.0,1.5 but I want: 0.00,0.15,0.30 and so on with 2 decimals. How can I do? Thanks [[alternative HTML version deleted]] __ R-help@r-pro

[R] solve.QP

Why sometimes I have error??? In this code I use solve.QP, and I have error sometimes and other times no. Why? Thanks... matr.dati=cbind(c(0.035,0.065,0.040,0.130,0.120,0.140,0.100,0.090),c(0.0750,0.2150,0.0550,0.2280,0.1858,0.2450,0.1555,0.1650)) 0.040 0.0550 0.130 0.2280 0.1

[R] random sequence

I have a sequence of number from 1 to 40 and I have to extract a random sequence, for example: 1) 1, 2 3, 4, ...40 2) 2, 10, 9 , 25 e so on for 5000 times. How I can do Thanks [[alternative HTML version deleted]] __ R-help@r-project.org

[R] IMPORTANT - Add a plot to another plot

I have a graphic that I design with the command "plot", and I want to add another graphic. If I use another time the command "plot" with parameter "add=TRUE" It's wrong. Why? How I can resolve this problem? Thanks [[alternative HTML version deleted]] _

[R] IMPORTANT - To remove the null elements from a vector

I have a vector that have null elements. How to remove these elements? For example: x=[10 0 30 40 0 0] I want the vector y=[10 30 40] Thanks [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/l

[R] IMPORTANT! How work "constrOptim"? Why error in this routine???

I have to calculate the value of a set of parameter that minimize a function ("scarti") with constrains. I know that "scarti" is right. Then, why I have error??? I don't understand!!! Help, thanks, it's very important!!! This is the routine: --

[R] to creates an array

Is there a command as "mat.or.vec(nr,nc)" to create an array that I must calculate with more cicle? [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting

[R] As "mat.or.vec"

is there a command like "mat.or.vec" for an array that I have to create with a cicle for? [[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 htt

[R] Simulation from a multivariate normal distribution

I must to create an array with dimensions 120x8x500. Better I have to make 500 simulations of 8 series of return from a multivariate normal distribution. there's the command "mvrnorm" but how I can do this repeating the simulation 500 times?" [[alternative HTML version deleted]] ___

[R] quadratic programming

Devo risolvere un problema di minimo vincolato con vincoli di uguaglianza e un altro con vincoli di uguaglianza e disuguaglianza. Cosa posso utilizzare? [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz

[R] URGENTE

Sto imparando ora ad utilizzare R. Ho un problema: devo caricare i dati da un file xls creato da me, utilizzando la funzione "read.xls" produce il seguente errore: Errore in xls2csv(xls, sheet, verbose = verbose, ..., perl = perl) : Unable to read xls file 'indagineUSA.xls'. Errore in file.exi