Hi, I am attempting to fit a ARMA/GARCH regression model without success.
### ARIMA-GARCH model with regressor ### ### Time series data: A multivariate data set. cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])] cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1)) ### The following R scripts work: (summary(no.day.fitr <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day))) (summary(no.day.fitr2 <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day, include.mean=FALSE))) ### ERROR: I add in the regressor "day". (summary(no.day.fitr3 <- garchFit(dq ~ day + arma(0,3) + garch(1,1), data = cov.ts.day, include.mean=FALSE))) ### Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) : ### object 'formula.mean' not found ### ERROR: day.fitr4 <- garchFit(formula.mean = dq ~ day + arma(0,3),formula.var = ~garch(1,0), data = cov.ts.day,include.mean = FALSE) ### Error in garchFit(formula.mean = dq ~ day + arma(0, 3), formula.var = ~garch(1, : ### Multivariate data inputs require lhs for the formula. ### Note: If I remove "day" I obtain the same error message. I would greatly appreciate knowing how to overcome this problem. Paul [[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.