I'm having no luck getting GARCH parameter estimations. It seems simple
enough, but I don't know what I'm doing. I'm a newbie both at R and GARCH
models, so whatever is going wrong, it's probably very basic. Here's what I
do:
1. I first load the tseries package with:
library("tseries")
2. I then load the data with:
g <- read.table("test.csv", header=T)
3. It appears to work because I can print the data (a "hello world" type
dataset with only 5 datapoints):
> g
Data
1 0.002337
2 0.010037
3 0.007608
4 0.005620
5 0.006050
4. Looks good. So now I try to get the parameters of a fitted GARCH(1,1)
model:
> gFit <- garch( g, order=c(1,1) )
Here's where the problem is. R returns:
***** ESTIMATION WITH ANALYTICAL GRADIENT *****
and that's it. No further output is generated; R just sits there. My
dataset had 5000 elements, but R just hung there after printing the above
message. So I cut the dataset down to 100 elements, and then down to just
5 elements.
I'm pretty sure 5 elements should be a snap for R; I think the estimation
would be done in seconds, so something is definitely wrong.
Help?
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