[R] GARCH (1 , 1), Hill estimator of alpha, Pareto estimator

Ukech U. Kidi chuai_juok at hotmail.com
Fri Jun 3 06:25:55 CEST 2005


Dear R users,

Could you please help me out. I am in trouble as I am unable to model graphs 
to explain the GARCH (1 , 1) model, the Hill estimator (of alpha), and the 
Pareto estimator.

I just got introduce to R. I am working on a paper which must be worked from 
R.


You look at the difficulty I had from the text below.


[1] "DAX"       "DAX_CAC"   "DAX_CAC40" "Nikkei"    "NSCP"      "T"

[7] "Time"      "x"         "X"         "Y1"        "Y2"        "Y3"

[13] "Y4"

>save.image("R:/My documents/.RData")

>library(stats)

>data(DAX_CAC)

Warning message:

Data set 'DAX_CAC' not found in: data(DAX_CAC)

>data("DAX_CAC")

Warning message:

Data set 'DAX_CAC' not found in: data("DAX_CAC")

>dax<- diff(log(DAX_CAC$DAX[1:1865]))

>m1<- garch(dax)

Error: couldn't find function "garch"

>m1<- garch(dax[1:1865])

Error: couldn't find function "garch"

>m1<- garch(dax[1:1865])


Thank you in advance,

Ukech U. kidi




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