[R-SIG-Finance] (no subject)

[Bharat Kherwa]

Dear Amjad

Try these:

#install.packages("fracdiff")
library(fracdiff);

# FYI:

You can simulate ARFIMA this way:

z1<-fracdiff.sim(512,ar=c(0.21,0.2),d=0.3);

#using :

fit<-fracdiff(data1,nar=3,nma=3,h=.Machine$double.eps);   # the last
parameter is some machine dependency
summary(fit);

hope it helps,

Bharat

On Mon, Jul 18, 2011 at 8:10 PM, Amjad Ali <amjadali_ktk at yahoo.com> wrote:
> Hi
> In the rgarch package I could not find the codes for simultaneous fitting of
> Autoregressive fractionally integrated Moving average model with GARCH errors
> i.e ARFIMA(p,d,q)-GARCH(r,s) model.in fGarch package the codes for fitting
> arma(p,q)-GARCH(r,s) is available but not for ARFIMA(p,d,q)-GARCH(r,s) . Please
> help in this regrad
>
>
> Regards
>
> Amjad Ali
>
>
>
>
> ________________________________
> From: soren wilkening <me at censix.com>
> To: r-sig-finance at r-project.org
> Sent: Mon, July 18, 2011 11:52:18 PM
> Subject: Re: [R-SIG-Finance] (no subject)
>
> You could use the 'rgarch' package. Does everything you want and more. (of
> course there are alternatives as well)
> Soren
>
> -----
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