garchOxFit in R

Question

Could someone please help me with trying to get the Ox interface to work in R. I followed the steps outlined in this paper (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1752095), but I get the following errors as output:

Ox Console version 6.21 (Windows/U) (C) J.A. Doornik, 1994-2011 This version may be used for academic research and teaching only

C:\Ox\lib\GarchOxModelling.ox (28): 'fopen' undeclared identifier

C:\Ox\lib\GarchOxModelling.ox (29): 'fscan' undeclared identifier

C:\Ox\lib\GarchOxModelling.ox (39): 'fclose' undeclared identifier

C:\Ox\lib\GarchOxModelling.ox (227): 'fprint' undeclared identifier

Error in file(file, "r") : cannot open the connection

In addition: Warning messages:

1: running command 'C:\Ox\bin\oxl.exe C:\Ox\lib\GarchOxModelling.ox' had status 1

2: In file(file, "r") : cannot open file 'OxResiduals.csv': No such file or directory

How would I go about solving the undeclared identifier problem? And then the following 2 additional warnings messages 1. and 2. ?

I am really out of my depth here but really need to use FIGARCH & possibly FIEGARCH in R. Thanks for any help provided.

Answer 1

The interface from R to Ox is no longer supported by Rmetrics.

You could look into the Rugarch package from CRAN instead. It supports a number of Garch specifications.

Answer 2

fopen,fscan are in stdio.h but it looks like Ox has their own include file. For some reason it's commented out in garchOxModelling.ox, uncomment that line only.

#include <oxstd.h>  
//#include <packages/gnudraw/gnudraw.h>

I remember I had to change this line as well since I used a newer G@rch distro. It was /Garch42/ , I changed it to /Garch6/

#import <packages/Garch6/garch>

Simple R script

#My test input
library(quantmod)
library(FinTS)
getSymbols(c("SPY"), src='yahoo', from="2005-01-01")#dnld data
sp.close<-as.vector(SPY[,"SPY.Adjusted"])
y1=100*diff(log(sp.close))
#call preloaded custom R function
result.sp=garchOxFit(formula.mean = ∼arma(1, 0), formula.var = ∼figarch.bbm(1,1),
                     series = y1, cond.dist = "skewed-t",include.mean = TRUE, 
                     truncation = 100, trace = TRUE, title=NULL,include.var=TRUE)

Some truncated output

Ox Console version 6.21 (Windows/U) (C) J.A. Doornik, 1994-2011
This version may be used for academic research and teaching only
Copyright for this package: S. Laurent, 2000-2009.
G@RCH package version 6.0, object created on  6-08-2013
-------------------------------------
Starting Values
===============
Parameter      Starting Value
Cst(M)               0.010000
AR(1)                0.010000
Cst(V)               0.040000
d-Figarch            0.450000
ARCH(Phi1)           0.100000
GARCH(Beta1)         0.400000
Asymmetry            0.010000
Tail                 6.000000

Edit: For the second part of your question, the missing files (OxResiduals etc.) will show up in your working dir after you fix the file io problem.