[SciPy-User] rpy/rpy2 for tseries and fGarch

josef.pktd@gmai... josef.pktd@gmai...
Fri Feb 12 10:44:04 CST 2010


Does anyone have some examples how to use arma and garch from R
tseries package and/or garchFit and garchSim from the fGarch package
through either rpy or rpy2? I'm still working mostly with rpy when I
manage, because I find rpy2 even more confusing.

I'm trying to write some validation scripts for my first versions of
arma and garch, but I'm not able to feed any model or order options
with rpy without getting an RPy_RException. Using only the default
settings, which work for fGarch, is boring.

Thanks,

Josef


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