>>>> "C" == collonil <[EMAIL PROTECTED]>
>>>> on Mon, 18 Aug 2008 07:35:09 -0700 (PDT)
C> Hallo,
C> i want to fit a GARCH model with a extern regressor (without arma
C> components), so i found the following function in package fGarch. I tryed
C> out a lot of things but usually I get this Error.
C>
C> > garchFit(formula=y~x, formula.var=~garch(1,1),data=w)
C> Error in .garchFit(formula.mean, formula.var, series = x, init.rec,
delta,
C> :
C> Algorithm only supported for mci Recursion
C>
C> I think i use the function the wrong way, but cannot find my mistake. Can
C> somebody help me?
it looks like one of the depended package of fGarch has a change which
breaks garchFit. I would recommend you to use the development version.
If you have R (>=2.7.0) and everything installed in order to compile a
package, you can use the following command to install the development
version of the fGarch package.
source("http://rmetrics.r-forge.r-project.org/installRmetrics.R";)
installRmetrics("fGarch", repos = "http://r-forge.r-project.org";)
but bear in mind that this is development code. So if you have any
suggestion how to improve it, please let us know it!
hope this helps,
Yohan
--
PhD student
Swiss Federal Institute of Technology
Zurich
www.ethz.ch
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