[R] Having trouble getting GARCH parameters (basic/newbie)

caffeine p at dirac.org
Mon Dec 10 06:25:32 CET 2007

I'm having no luck getting GARCH parameter estimations.  It seems simple
enough, but I don't know what I'm doing.  I'm a newbie both at R and GARCH
models, so whatever is going wrong, it's probably very basic.  Here's what I

1. I first load the tseries package with:


2. I then load the data with:

   g <- read.table("test.csv", header=T)
3. It appears to work because I can print the data (a "hello world" type
dataset with only 5 datapoints):

   > g
   1 0.002337
   2 0.010037
   3 0.007608
   4 0.005620
   5 0.006050

4. Looks good.  So now I try to get the parameters of a fitted GARCH(1,1)

   > gFit <- garch( g, order=c(1,1) )

Here's where the problem is.  R returns:


and that's it.  No further output is generated; R just sits there.   My
dataset had 5000 elements, but R just hung there after printing the above
message.   So I cut the dataset down to 100 elements, and then down to just
5 elements.

I'm pretty sure 5 elements should be a snap for R; I think the estimation
would be done in seconds, so something is definitely wrong.


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