FIGARCH estimation and simulation

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

FIGARCH estimation and simulation

JesperHybel


Dear All

Are there any packages supporting estimation and simulation of fractionally integrated processes more specifically FIAPARCH?

I tried the OxInterface but I cannot get it to work properly. This is what is printed in R on call to garchOxFit(...):

Ox Console version 6.21 (Windows/U) (C) J.A. Doornik, 1994-2011
This version may be used for academic research and teaching only
C:\Ox\lib\GarchOxModelling.ox (6): 'packages/Garch42/garch.h' include file not found
C:\Ox\lib\GarchOxModelling.ox (28): 'fopen' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (29): 'fscan' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (39): 'fclose' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (40): 'Garch' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (40): class expected
C:\Ox\lib\GarchOxModelling.ox (47): 'Y_VAR' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (227): 'fprint' undeclared identifier
Error in file(file, "r") : cannot open the connection
In addition: Warning messages:
1: running command 'C:\Ox\bin\oxl.exe C:\Ox\lib\GarchOxModelling.ox' had status 1
2: In file(file, "r") :
  cannot open file 'OxResiduals.csv': No such file or directory

Best regards
Jesper Hybel
Student Economics Copenhagen University

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.