[R] another GARCH problem

[Yohan Chalabi]

>>>> "C" == collonil <manitz.juliane at web.de>
>>>> 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