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
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