From babel at centrum.sk  Sun Dec  9 22:45:23 2007
From: babel at centrum.sk (babel at centrum.sk)
Date: Sun,  9 Dec 2007 22:45:23 +0100 (CET)
Subject: [Rd] Package tseries Garch (PR#10504)
Message-ID: <20071209214523.D5D3B282EFF7@mail.pubhealth.ku.dk>

Full_Name: Jan Troger
Version: R version 2.6.0 (2007-10-03)
OS: Windows
Submission from: (NULL) (158.193.95.57)


Version of tseries is : 0.10-12 
The example(garch) doesnt work
This >>:
n <- 1100
a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients
e <- rnorm(n)
x <- double(n)
x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
for(i in 3:n) # Generate ARCH(2) process
{
x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
}
x <- ts(x[101:1100])
x.arch <- garch(x, order = c(0,2)) # Fit ARCH(2)
summary(x.arch) # Diagnostic tests
plot(x.arch)

<<

I have the same problem as it was mentioned in message id=2302, but the result
is a little bit different. The last 2 rows are :

garch> x.arch <- garch(x, order = c(0,2))  # Fit ARCH(2) 

 ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** 

and I have wait 20 minutes and nothing happened.Only the processor was busy on
100%
I try to change data length, also add itmax=10 , but still with the same
result.

Thanks in advance



[Rd] Package tseries Garch (PR#10504)
babel at centrum.sk