[R] multiplicative error model

HI, i'm trying to estimate a multiplicative error model in R, i've seen the dynamo package but it seems that i'm not able to use it. does someone know how can i do it? thanks -- View this message in context: http://r.789695.n4.nabble.com/multiplicative-error-model-tp4633730.html Sent from the

Re: [R] multiplicative error model

no the manual doesn't help me. because, it doesn't give me the results i need. this is what i obtain (y in my case is the daily range of s&p) > mem <- dm( y~mem(1,1) ) > summary( mem) Call: dm(formula = y ~ mem(1, 1)) > mem Call: dm(formula = y ~ mem(1, 1)) Coefficients: [1] 0.001656 0.2340

[R] dummy variable

Hi, i need a little help! i must create a dummy variable to insert as external regressor in the variance equation of a garch model; this dummy is referred to the negative sign of returns of an asset, so it has to be 1 when returns are negative and 0 when they are positive, and in my model the dummy

Re: [R] dummy variable

oh god, thanks!now it looks so simple!! -- View this message in context: http://r.789695.n4.nabble.com/dummy-variable-tp4637347p4637574.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.e

[R] external regressors in garch variance

Hi guys, i need your help!i'm trying to fit a multiplicative error model using rugarch, imposing a null mean for the garch model so the resulting variance is the mean of my multiplicative error model. the point is that i need to increase the number of external regressors, including asymmetric effe

[R] lagged variables

hi guys, i have some trouble in creating lagged variables to use as external regressors. i'm trying to use lag(x) but it gives me as result the same time series (x), adding this part at the end: attr(,"tsp") [1]0 23231 where do i wrong?are there other functions to be used? thanks sara

[R] gamma distribution in rugarch package

Hi guys, does anyone know if there is the possibility to fit a gamma distribution using ugarch?honestly i don't know if maybe is possible to fix some parameters that reduce ghyp or ged in a gamma distribution.. thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/ga

[R] garch external regressors

Hi everyone, i have a terribly stupid question, but i hope someone could reply me! when i'm fitting a garch model and i want to insert in the variance model some external regressors as temporal dummy or lags of other variables and so on, which timeline should follow the time series that i select? i