Re: [R] the significance of BEKK estimation

Here is one more question, How could I input an asymmetry in volatility specication in the BEKK function? As far as I know, the BEKK estimation function is mvBEKK.est(eps, order = c(1,1), params = NULL, fixed = NULL, method = "BFGS", verbose = F) I totally have no idea to exert an asymmetry int

[R] the significance of BEKK estimation

Dear ALL, I use BEKK package to estimate Bivariate GARCH model. But when the results come out, there's no t-stat or p-value of the estimated coeffients. Does anyone know how to get the significance? Followings are the codes I input, >P1=data.frame(x,y) >y1=mvBEKK.est(P1) >mvBEKK.diag(y1) Anyhel

Re: [R] if function problems

Thank you for your adding, Steve, i followed Daivd's suggection and finally got the answer. It is my careless that should put lena instead of lenx. I also tried your codes and worked well. I appreciate your help. I learnt a lot from this forum. Cheers, Zoe -- View this message in context: http:/

Re: [R] if function problems

David, I'm so appreciate! Sincerely, Zoe -- View this message in context: http://r.789695.n4.nabble.com/if-function-problems-tp3710995p3711062.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://s

[R] if function problems

Dear All, Sorry to bother I want to write a function in R using if Say I have a dataset x, if x[i]<0, then x[i]=x[i], if x[i]>0, then x[i]=0 for example, x=-3:3, then using the function, x becomes [-3,-2,-1,0,0,0,0] I write the codes as follows, gjr=function(x) {lena=length(x) for(i in 1:lenx)

Re: [R] About AR（1）-GJR-GARCH(1,1) MODEL

Sorry that X in the first equation should be Ɛ -- View this message in context: http://r.789695.n4.nabble.com/About-AR-1-GJR-GARCH-1-1-MODEL-tp3706508p3706512.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing

[R] About AR（1）-GJR-GARCH(1,1) MODEL

sorry to bother all, I am recently doing a topic about spillover effect between two markets. And I want to use AR(1)-GJR-GARCH(1,1)-M Model. I find that rgarch package has functions for univariate GARCH model, including GJR. My GJR model is http://r.789695.n4.nabble.com/file/n3706508/formula.jpg

[R] GARCH IN THE MEAN Model in R

Dear All, Sorry to bother. I'd like to estimate GARCH-M( GARCH IN THE MEAN) model. And find that a package called rgarch could help. But I always can't instal rgarch package successfully. I posted my problems and got some suggestions but still failed. Does any one knows other method that could do G

[R] Questions about DCC-GARCH Model

Dear list members, I'm trying to use DCC-GARCH model to estimate the correlation. I have downloeaded ccgarch packeage but can't understand some argument in the formula. dcc.estimation(inia, iniA, iniB, ini.dcc, dvar, model, method="BFGS", gradient=1, message=1) which is on R.Help I understand oth