Some question about DCC.est.r about mgarch HOT 3 CLOSED

garch method comes from within tseries package.

You can issue following command to install and load tseries:

install.packages("tseries")
library(tseries)

BTW: What is the problem with installation? What is the error message you are receiving? What is your platform (eg. GNU/Linux, Mac OSX, Windows) and R version?

from mgarch.

Thank you for informing that.My platform is windows, and R version is v3.1.0. I install mgarch from the github using the devtools package:

require(devtools)

install_github('mgarch','vst')

And the following information is:

Installing github repo mgarch/master from vst
Downloading master.zip from https://github.com/vst/mgarch/archive/master.zip
Installing package from C:\Users\Luke\AppData\Local\Temp\Rtmpc7XEzQ/master.zip
Installing mgarch
"F:/PROGRA2/R/R-311.0/bin/i386/R" --vanilla CMD INSTALL
"C:\Users\Luke\AppData\Local\Temp\Rtmpc7XEzQ\devtools36b0717a32f6\mgarch-master"
--library="F:/Program Files/R/R-3.1.0/library" - install-tests

installing source package 'mgarch' ...
** libs
*** arch - i386
Warning: running command 'make -f "F:/PROGRA2/R/R-311.0/etc/i386/Makeconf" -f "F:/PROGRA2/R/R-311.0/share/make/winshlib.mk" SHLIB="mgarch.dll" OBJECTS="loglikelihood.o loglikelihood_GJR.o matrixlib.o"' had status 127
ERROR: compilation failed for package 'mgarch'

• removing 'F:/Program Files/R/R-3.1.0/library/mgarch'
  Error: Command failed (1)```

And I don't know how to fix it.

By the way, when i were using the dcc.est.r, the r told me

Error in optim(theta.old, fun, gradient, control = control, method = method, :
initial value in 'vmmin' is not finite

What should i check? Data? or other things?

from mgarch.

I am sorry, I missed your message.

I don't know what the problem is as I can't reproduce it on my Mac OSX. And it was working lately on GNU/Linux.

I have uploaded the Windows binary to my public Dropbox folder. I got it compiled on the Win-builder (http://win-builder.r-project.org/). You can grab it from the following URL and give it a try:

https://dl.dropboxusercontent.com/u/14420846/mgarch_0.0-5.zip

Re. vmmin: please check your data. It should work. However, a better alternative would be to check the following two packages:

1. ccgarch
2. rmgarch

from mgarch.