

I have a timeseries and would like to add data for today. How can I do that?


On 04/07/2010 01:45 PM, patzoul wrote:
> I have a timeseries and would like to add data for today. How can I do that?
>
try
?rbind
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My data is in variable x as shown below.
> x
AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
20071017 172.69 173.04 169.18 172.75 40271900 172.75
How can I add another line of data such as:
20100407 250 250 250 250 0 250


On 04/07/2010 03:48 PM, patzoul wrote:
> My data is in variable x as shown below.
>
>
>> x
>>
> AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
> 20071017 172.69 173.04 169.18 172.75 40271900 172.75
>
> How can I add another line of data such as:
> 20100407 250 250 250 250 0 250
>
>
>
Thank you for taking the time to clarify your question.
However, the answer to your question will not change.
You will use rbind.
You may first need to use xts() to create your new row.
This is not really a finance question.
Please start with the xts documentation and vignettes. If you are still
having trouble, try rhelp.
 Brian
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I did xts(t(c(250,0,250,0)), Sys.Date) to create the new line of data:
20100408 250 0 250 0
and then use rbind to add it to the existing table.
thanks


Hi list,
I'm actually trying to model some financial data with use of garch models
besides other stuff. But now I'm wondering how to extract the pvalues from
the garch output. I'm just unable to get them. Do I have to calculate them
by my own or are there any other possibilities? Of course, I've already
checked the help function, but there aren't any advises.
Hope you can help me.
Thanks in advance,
Konrad Hoppe
http://www.konradhoppe.com/ [[alternative HTML version deleted]]
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What about the LjungBox statistics from the GARCH estimation? Wouldn't
that provide the pvalues you're looking for?
On Fri, 20100409 at 23:37 +0200, Konrad Hoppe wrote:
> Hi list,
>
> I'm actually trying to model some financial data with use of garch models
> besides other stuff. But now I'm wondering how to extract the pvalues from
> the garch output. I'm just unable to get them. Do I have to calculate them
> by my own or are there any other possibilities? Of course, I've already
> checked the help function, but there aren't any advises.
> Hope you can help me.
>
> Thanks in advance,
> Konrad Hoppe
> http://www.konradhoppe.com/>
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
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> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions should go.
>
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Hi,
the Ljung Box statistic is valid for differrent models in my case and I want
to distinguish automatically between those different models. My problem is,
that it turns out, that there is more than one model with valid box
statistic, but only one has a residual series which looks like white noise,
and this model has only significant parameters, while the others have some
nonsignificant params. Hence I need to get these pvalues from the model
and I think that there must be possibility since the pvalues are
calculated, but I'm just unable to get them...
Any ideas to solve that problem?
Konrad Hoppe
Ursprüngliche Nachricht
Von: [hidden email]
[mailto: [hidden email]] Im Auftrag von Sarbo
Gesendet: Samstag, 10. April 2010 15:16
An: [hidden email]
Betreff: Re: [RSIGFinance] pvalues of garch models
What about the LjungBox statistics from the GARCH estimation? Wouldn't
that provide the pvalues you're looking for?
On Fri, 20100409 at 23:37 +0200, Konrad Hoppe wrote:
> Hi list,
>
> I'm actually trying to model some financial data with use of garch models
> besides other stuff. But now I'm wondering how to extract the pvalues
from
> the garch output. I'm just unable to get them. Do I have to calculate them
> by my own or are there any other possibilities? Of course, I've already
> checked the help function, but there aren't any advises.
> Hope you can help me.
>
> Thanks in advance,
> Konrad Hoppe
> http://www.konradhoppe.com/>
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
should go.
>
[[alternative HTML version deleted]]
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On 04/12/2010 03:38 PM, Konrad Hoppe wrote:
> Hi,
>
> the Ljung Box statistic is valid for differrent models in my case and I want
> to distinguish automatically between those different models. My problem is,
> that it turns out, that there is more than one model with valid box
> statistic, but only one has a residual series which looks like white noise,
> and this model has only significant parameters, while the others have some
> nonsignificant params. Hence I need to get these pvalues from the model
> and I think that there must be possibility since the pvalues are
> calculated, but I'm just unable to get them...
> Any ideas to solve that problem?
>
Konrad,
Please provide a reproducible code example.
Use one of the example data sets for whatever GARCH package you are
using, and tell us what package that is, and comment your example so we
can tell what you're doing.
You haven't given us enough information to say where you'll find the
pvalues, since among other things you haven't even told us which of the
many GARCH functions within R you're using.
 Brian

Brian G. Peterson
http://braverock.com/brian/Ph: 7734594973
IM: bgpbraverock
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okay, I see the problem...I'm absolutely new to garch modelling and hence I didn't know that there are some many different functions. I've just thought that one of you already now my problem and there is a simple solution, anyway.
Now I've produced a code example:
#########################
install.packages("tseries")
library(tseries)
data < vector(length=1000)
data[1] < 0
set.seed(123)
for(i in 2:1000){
data[i] < 0.5*data[i1] + rnorm(1)
}
garch.fit < garch(data,order=c(1,1), trace=F)
summary(garch.fit)
########################
maybe you know another garch function where it's easier to get the pvalues..
hope you can help me
all the best,
konrad
> Date: Mon, 12 Apr 2010 15:55:20 0500
> From: [hidden email]
> To: [hidden email]
> CC: [hidden email]
> Subject: Re: [RSIGFinance] pvalues of garch models
>
> On 04/12/2010 03:38 PM, Konrad Hoppe wrote:
> > Hi,
> >
> > the Ljung Box statistic is valid for differrent models in my case and I want
> > to distinguish automatically between those different models. My problem is,
> > that it turns out, that there is more than one model with valid box
> > statistic, but only one has a residual series which looks like white noise,
> > and this model has only significant parameters, while the others have some
> > nonsignificant params. Hence I need to get these pvalues from the model
> > and I think that there must be possibility since the pvalues are
> > calculated, but I'm just unable to get them...
> > Any ideas to solve that problem?
> >
>
> Konrad,
>
> Please provide a reproducible code example.
>
> Use one of the example data sets for whatever GARCH package you are
> using, and tell us what package that is, and comment your example so we
> can tell what you're doing.
>
> You haven't given us enough information to say where you'll find the
> pvalues, since among other things you haven't even told us which of the
> many GARCH functions within R you're using.
>
>  Brian
>
> 
> Brian G. Peterson
> http://braverock.com/brian/> Ph: 7734594973
> IM: bgpbraverock
>
>
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#see the structure:
str(summary(garch.fit))
#this is what you want, right?
summary(garch.fit)$coef[,4]
Konrad Hoppe a écrit :
> okay, I see the problem...I'm absolutely new to garch modelling and hence I didn't know that there are some many different functions. I've just thought that one of you already now my problem and there is a simple solution, anyway.
> Now I've produced a code example:
>
> #########################
> install.packages("tseries")
> library(tseries)
>
> data < vector(length=1000)
> data[1] < 0
> set.seed(123)
>
> for(i in 2:1000){
> data[i] < 0.5*data[i1] + rnorm(1)
> }
>
> garch.fit < garch(data,order=c(1,1), trace=F)
> summary(garch.fit)
> ########################
>
> maybe you know another garch function where it's easier to get the pvalues..
> hope you can help me
>
> all the best,
> konrad
>
>
>
>> Date: Mon, 12 Apr 2010 15:55:20 0500
>> From: [hidden email]
>> To: [hidden email]
>> CC: [hidden email]
>> Subject: Re: [RSIGFinance] pvalues of garch models
>>
>> On 04/12/2010 03:38 PM, Konrad Hoppe wrote:
>>
>>> Hi,
>>>
>>> the Ljung Box statistic is valid for differrent models in my case and I want
>>> to distinguish automatically between those different models. My problem is,
>>> that it turns out, that there is more than one model with valid box
>>> statistic, but only one has a residual series which looks like white noise,
>>> and this model has only significant parameters, while the others have some
>>> nonsignificant params. Hence I need to get these pvalues from the model
>>> and I think that there must be possibility since the pvalues are
>>> calculated, but I'm just unable to get them...
>>> Any ideas to solve that problem?
>>>
>>>
>> Konrad,
>>
>> Please provide a reproducible code example.
>>
>> Use one of the example data sets for whatever GARCH package you are
>> using, and tell us what package that is, and comment your example so we
>> can tell what you're doing.
>>
>> You haven't given us enough information to say where you'll find the
>> pvalues, since among other things you haven't even told us which of the
>> many GARCH functions within R you're using.
>>
>>  Brian
>>
>> 
>> Brian G. Peterson
>> http://braverock.com/brian/>> Ph: 7734594973
>> IM: bgpbraverock
>>
>>
>>
>
> _________________________________________________________________
>
> [[elided Hotmail spam]]
> [[alternative HTML version deleted]]
>
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> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions should go.
>
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George Box said:
All models are wrong,
some models are useful.
In particular all garch models are
wrong since markets change over time.
The best you can hope for is a model
that is adequate for your needs.
Looking at pvalues won't necessarily
tell you the adequacy of the model for
your application.
Pat
On 12/04/2010 21:38, Konrad Hoppe wrote:
> Hi,
>
> the Ljung Box statistic is valid for differrent models in my case and I want
> to distinguish automatically between those different models. My problem is,
> that it turns out, that there is more than one model with valid box
> statistic, but only one has a residual series which looks like white noise,
> and this model has only significant parameters, while the others have some
> nonsignificant params. Hence I need to get these pvalues from the model
> and I think that there must be possibility since the pvalues are
> calculated, but I'm just unable to get them...
> Any ideas to solve that problem?
>
> Konrad Hoppe
>
> Ursprüngliche Nachricht
> Von: [hidden email]
> [mailto: [hidden email]] Im Auftrag von Sarbo
> Gesendet: Samstag, 10. April 2010 15:16
> An: [hidden email]
> Betreff: Re: [RSIGFinance] pvalues of garch models
>
> What about the LjungBox statistics from the GARCH estimation? Wouldn't
> that provide the pvalues you're looking for?
>
> On Fri, 20100409 at 23:37 +0200, Konrad Hoppe wrote:
>
>> Hi list,
>>
>> I'm actually trying to model some financial data with use of garch models
>> besides other stuff. But now I'm wondering how to extract the pvalues
> from
>> the garch output. I'm just unable to get them. Do I have to calculate them
>> by my own or are there any other possibilities? Of course, I've already
>> checked the help function, but there aren't any advises.
>> Hope you can help me.
>>
>> Thanks in advance,
>> Konrad Hoppe
>> http://www.konradhoppe.com/>>
>>
>> [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/rsigfinance>>  Subscriberposting only. If you want to post, subscribe first.
>>  Also note that this is not the rhelp list where general R questions
> should go.
>>
>
>
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
>
>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>
> [[alternative HTML version deleted]]
>
>
>
>
> _______________________________________________
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>  Also note that this is not the rhelp list where general R questions should go.

Patrick Burns
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Thank you so much, I knew that there is a simple solution, but I've tried it the whole time with garch.fit$coef and there is nothing about pvalues.
> Date: Tue, 13 Apr 2010 09:23:22 +0200
> From: [hidden email]
> To: [hidden email]
> CC: [hidden email]; [hidden email]
> Subject: Re: [RSIGFinance] pvalues of garch models
>
>
>
> #see the structure:
> str(summary(garch.fit))
> #this is what you want, right?
> summary(garch.fit)$coef[,4]
>
> Konrad Hoppe a écrit :
> > okay, I see the problem...I'm absolutely new to garch modelling and hence I didn't know that there are some many different functions. I've just thought that one of you already now my problem and there is a simple solution, anyway.
> > Now I've produced a code example:
> >
> > #########################
> > install.packages("tseries")
> > library(tseries)
> >
> > data < vector(length=1000)
> > data[1] < 0
> > set.seed(123)
> >
> > for(i in 2:1000){
> > data[i] < 0.5*data[i1] + rnorm(1)
> > }
> >
> > garch.fit < garch(data,order=c(1,1), trace=F)
> > summary(garch.fit)
> > ########################
> >
> > maybe you know another garch function where it's easier to get the pvalues..
> > hope you can help me
> >
> > all the best,
> > konrad
> >
> >
> >
> >> Date: Mon, 12 Apr 2010 15:55:20 0500
> >> From: [hidden email]
> >> To: [hidden email]
> >> CC: [hidden email]
> >> Subject: Re: [RSIGFinance] pvalues of garch models
> >>
> >> On 04/12/2010 03:38 PM, Konrad Hoppe wrote:
> >>
> >>> Hi,
> >>>
> >>> the Ljung Box statistic is valid for differrent models in my case and I want
> >>> to distinguish automatically between those different models. My problem is,
> >>> that it turns out, that there is more than one model with valid box
> >>> statistic, but only one has a residual series which looks like white noise,
> >>> and this model has only significant parameters, while the others have some
> >>> nonsignificant params. Hence I need to get these pvalues from the model
> >>> and I think that there must be possibility since the pvalues are
> >>> calculated, but I'm just unable to get them...
> >>> Any ideas to solve that problem?
> >>>
> >>>
> >> Konrad,
> >>
> >> Please provide a reproducible code example.
> >>
> >> Use one of the example data sets for whatever GARCH package you are
> >> using, and tell us what package that is, and comment your example so we
> >> can tell what you're doing.
> >>
> >> You haven't given us enough information to say where you'll find the
> >> pvalues, since among other things you haven't even told us which of the
> >> many GARCH functions within R you're using.
> >>
> >>  Brian
> >>
> >> 
> >> Brian G. Peterson
> >> http://braverock.com/brian/> >> Ph: 7734594973
> >> IM: bgpbraverock
> >>
> >>
> >>
> >
> > _________________________________________________________________
> >
> > [[elided Hotmail spam]]
> > [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/rsigfinance> >  Subscriberposting only. If you want to post, subscribe first.
> >  Also note that this is not the rhelp list where general R questions should go.
> >
>
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