CRAN Package Check Results for Package highfrequency

Last updated on 2017-07-23 14:47:02.

Flavor Version Tinstall Tcheck Ttotal Status Flags
r-devel-linux-x86_64-debian-clang 0.5.1 2.91 52.86 55.77 ERROR
r-devel-linux-x86_64-debian-gcc 0.5.1 2.81 51.84 54.66 ERROR
r-devel-linux-x86_64-fedora-clang 0.5.1 85.52 ERROR
r-devel-linux-x86_64-fedora-gcc 0.5.1 78.39 ERROR
r-devel-windows-ix86+x86_64 0.5.1 12.00 102.00 114.00 ERROR
r-patched-linux-x86_64 0.5.1 2.74 52.84 55.57 ERROR
r-patched-solaris-x86 0.5.1 97.60 ERROR
r-release-linux-x86_64 0.5.1 2.84 52.78 55.61 ERROR
r-release-windows-ix86+x86_64 0.5.1 13.00 107.00 120.00 ERROR
r-release-osx-x86_64 0.5.1 OK
r-oldrel-windows-ix86+x86_64 0.5.1 16.00 91.00 107.00 ERROR
r-oldrel-osx-x86_64 0.5.1 OK

Check Details

Version: 0.5.1
Check: examples
Result: ERROR
    Running examples in ‘highfrequency-Ex.R’ failed
    The error most likely occurred in:
    
    > base::assign(".ptime", proc.time(), pos = "CheckExEnv")
    > ### Name: harModel
    > ### Title: HAR model estimation (Heterogeneous Autoregressive model for
    > ### Realized volatility)
    > ### Aliases: harModel
    > ### Keywords: forecasting
    >
    > ### ** Examples
    >
    > ##### Example 1: HARRVCJ #####
    > data("sample_5minprices_jumps");
    > data = sample_5minprices_jumps[,1];
    > data = makeReturns(data); #Get the high-frequency return data
    >
    > x = harModel(data, periods = c(1,5,10), periodsJ=c(1,5,10), RVest = c("rCov","rBPCov"),
    + type="HARRVCJ",transform="sqrt");
    > # Estimate the HAR model of type HARRVCJ
    > class(x);
    [1] "harModel" "lm"
    > x
    
    Model:
    sqrt(RV1) = beta0 + beta1 * sqrt(C1) + beta2 * sqrt(C5) + beta3 * sqrt(C10) + beta4 * sqrt(J1) + beta5 * sqrt(J5) + beta6 * sqrt(J10)
    
    Coefficients:
     beta0 beta1 beta2 beta3 beta4 beta5 beta6
     -0.8835 1.1957 -25.1922 38.9909 -0.4483 0.8084 -6.8305
    
    
     r.squared adj.r.squared
     0.9915 0.9661
    
    >
    > ##### Example 2: #####
    > # Forecasting daily Realized volatility for DJI 2008 using the basic harModel: HARRV
    > data(realized_library); #Get sample daily Realized Volatility data
    > DJI_RV = realized_library$Dow.Jones.Industrials.Realized.Variance; #Select DJI
    > DJI_RV = DJI_RV[!is.na(DJI_RV)]; #Remove NA's
    > DJI_RV = DJI_RV['2008'];
    >
    > x = harModel(data=DJI_RV , periods = c(1,5,22), RVest = c("rCov"),
    + type="HARRV",h=1,transform=NULL);
    > class(x);
    [1] "harModel" "lm"
    > x;
    
    Model:
    RV1 = beta0 + beta1 * RV1 + beta2 * RV5 + beta3 * RV22
    
    Coefficients:
     beta0 beta1 beta2 beta3
    4.432e-05 1.586e-01 6.213e-01 8.721e-02
    
    
     r.squared adj.r.squared
     0.4679 0.4608
    
    > summary(x);
    
    Call:
    "RV1 = beta0 + beta1 * RV1 + beta2 * RV5 + beta3 * RV22"
    
    Residuals:
     Min 1Q Median 3Q Max
    -0.0017683 -0.0000626 -0.0000427 -0.0000087 0.0044331
    
    Coefficients:
     Estimate Std. Error t value Pr(>|t|)
    beta0 4.432e-05 3.695e-05 1.200 0.2315
    beta1 1.586e-01 8.089e-02 1.960 0.0512 .
    beta2 6.213e-01 1.362e-01 4.560 8.36e-06 ***
    beta3 8.721e-02 1.217e-01 0.716 0.4745
    ---
    Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
    
    Residual standard error: 0.0004344 on 227 degrees of freedom
    Multiple R-squared: 0.4679, Adjusted R-squared: 0.4608
    F-statistic: 66.53 on 3 and 227 DF, p-value: < 2.2e-16
    
    > plot(x);
    Error in get(".xts_chob", .plotxtsEnv) : object '.xts_chob' not found
    Calls: plot ... chart_actions -> actions -> current.xts_chob -> get
    Execution halted
Flavors: r-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc, r-patched-linux-x86_64, r-release-linux-x86_64

Version: 0.5.1
Check: examples
Result: ERROR
    Running examples in ‘highfrequency-Ex.R’ failed
    The error most likely occurred in:
    
    > ### Name: harModel
    > ### Title: HAR model estimation (Heterogeneous Autoregressive model for
    > ### Realized volatility)
    > ### Aliases: harModel
    > ### Keywords: forecasting
    >
    > ### ** Examples
    >
    > ##### Example 1: HARRVCJ #####
    > data("sample_5minprices_jumps");
    > data = sample_5minprices_jumps[,1];
    > data = makeReturns(data); #Get the high-frequency return data
    >
    > x = harModel(data, periods = c(1,5,10), periodsJ=c(1,5,10), RVest = c("rCov","rBPCov"),
    + type="HARRVCJ",transform="sqrt");
    > # Estimate the HAR model of type HARRVCJ
    > class(x);
    [1] "harModel" "lm"
    > x
    
    Model:
    sqrt(RV1) = beta0 + beta1 * sqrt(C1) + beta2 * sqrt(C5) + beta3 * sqrt(C10) + beta4 * sqrt(J1) + beta5 * sqrt(J5) + beta6 * sqrt(J10)
    
    Coefficients:
     beta0 beta1 beta2 beta3 beta4 beta5 beta6
     -0.8835 1.1957 -25.1922 38.9909 -0.4483 0.8084 -6.8305
    
    
     r.squared adj.r.squared
     0.9915 0.9661
    
    >
    > ##### Example 2: #####
    > # Forecasting daily Realized volatility for DJI 2008 using the basic harModel: HARRV
    > data(realized_library); #Get sample daily Realized Volatility data
    > DJI_RV = realized_library$Dow.Jones.Industrials.Realized.Variance; #Select DJI
    > DJI_RV = DJI_RV[!is.na(DJI_RV)]; #Remove NA's
    > DJI_RV = DJI_RV['2008'];
    >
    > x = harModel(data=DJI_RV , periods = c(1,5,22), RVest = c("rCov"),
    + type="HARRV",h=1,transform=NULL);
    > class(x);
    [1] "harModel" "lm"
    > x;
    
    Model:
    RV1 = beta0 + beta1 * RV1 + beta2 * RV5 + beta3 * RV22
    
    Coefficients:
     beta0 beta1 beta2 beta3
    4.432e-05 1.586e-01 6.213e-01 8.721e-02
    
    
     r.squared adj.r.squared
     0.4679 0.4608
    
    > summary(x);
    
    Call:
    "RV1 = beta0 + beta1 * RV1 + beta2 * RV5 + beta3 * RV22"
    
    Residuals:
     Min 1Q Median 3Q Max
    -0.0017683 -0.0000626 -0.0000427 -0.0000087 0.0044331
    
    Coefficients:
     Estimate Std. Error t value Pr(>|t|)
    beta0 4.432e-05 3.695e-05 1.200 0.2315
    beta1 1.586e-01 8.089e-02 1.960 0.0512 .
    beta2 6.213e-01 1.362e-01 4.560 8.36e-06 ***
    beta3 8.721e-02 1.217e-01 0.716 0.4745
    ---
    Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
    
    Residual standard error: 0.0004344 on 227 degrees of freedom
    Multiple R-squared: 0.4679, Adjusted R-squared: 0.4608
    F-statistic: 66.53 on 3 and 227 DF, p-value: < 2.2e-16
    
    > plot(x);
    Error in get(".xts_chob", .plotxtsEnv) : object '.xts_chob' not found
    Calls: plot ... chart_actions -> actions -> current.xts_chob -> get
    Execution halted
Flavors: r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-patched-solaris-x86

Version: 0.5.1
Check: running examples for arch ‘i386’
Result: ERROR
    Running examples in 'highfrequency-Ex.R' failed
    The error most likely occurred in:
    
    > ### Name: harModel
    > ### Title: HAR model estimation (Heterogeneous Autoregressive model for
    > ### Realized volatility)
    > ### Aliases: harModel
    > ### Keywords: forecasting
    >
    > ### ** Examples
    >
    > ##### Example 1: HARRVCJ #####
    > data("sample_5minprices_jumps");
    > data = sample_5minprices_jumps[,1];
    > data = makeReturns(data); #Get the high-frequency return data
    >
    > x = harModel(data, periods = c(1,5,10), periodsJ=c(1,5,10), RVest = c("rCov","rBPCov"),
    + type="HARRVCJ",transform="sqrt");
    > # Estimate the HAR model of type HARRVCJ
    > class(x);
    [1] "harModel" "lm"
    > x
    
    Model:
    sqrt(RV1) = beta0 + beta1 * sqrt(C1) + beta2 * sqrt(C5) + beta3 * sqrt(C10) + beta4 * sqrt(J1) + beta5 * sqrt(J5) + beta6 * sqrt(J10)
    
    Coefficients:
     beta0 beta1 beta2 beta3 beta4 beta5 beta6
     -0.8835 1.1957 -25.1922 38.9909 -0.4483 0.8084 -6.8305
    
    
     r.squared adj.r.squared
     0.9915 0.9661
    
    >
    > ##### Example 2: #####
    > # Forecasting daily Realized volatility for DJI 2008 using the basic harModel: HARRV
    > data(realized_library); #Get sample daily Realized Volatility data
    > DJI_RV = realized_library$Dow.Jones.Industrials.Realized.Variance; #Select DJI
    > DJI_RV = DJI_RV[!is.na(DJI_RV)]; #Remove NA's
    > DJI_RV = DJI_RV['2008'];
    >
    > x = harModel(data=DJI_RV , periods = c(1,5,22), RVest = c("rCov"),
    + type="HARRV",h=1,transform=NULL);
    > class(x);
    [1] "harModel" "lm"
    > x;
    
    Model:
    RV1 = beta0 + beta1 * RV1 + beta2 * RV5 + beta3 * RV22
    
    Coefficients:
     beta0 beta1 beta2 beta3
    4.432e-05 1.586e-01 6.213e-01 8.721e-02
    
    
     r.squared adj.r.squared
     0.4679 0.4608
    
    > summary(x);
    
    Call:
    "RV1 = beta0 + beta1 * RV1 + beta2 * RV5 + beta3 * RV22"
    
    Residuals:
     Min 1Q Median 3Q Max
    -0.0017683 -0.0000626 -0.0000427 -0.0000087 0.0044331
    
    Coefficients:
     Estimate Std. Error t value Pr(>|t|)
    beta0 4.432e-05 3.695e-05 1.200 0.2315
    beta1 1.586e-01 8.089e-02 1.960 0.0512 .
    beta2 6.213e-01 1.362e-01 4.560 8.36e-06 ***
    beta3 8.721e-02 1.217e-01 0.716 0.4745
    ---
    Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
    
    Residual standard error: 0.0004344 on 227 degrees of freedom
    Multiple R-squared: 0.4679, Adjusted R-squared: 0.4608
    F-statistic: 66.53 on 3 and 227 DF, p-value: < 2.2e-16
    
    > plot(x);
    Error in get(".xts_chob", .plotxtsEnv) : object '.xts_chob' not found
    Calls: plot ... chart_actions -> actions -> current.xts_chob -> get
    Execution halted
Flavors: r-devel-windows-ix86+x86_64, r-release-windows-ix86+x86_64, r-oldrel-windows-ix86+x86_64

Version: 0.5.1
Check: running examples for arch ‘x64’
Result: ERROR
    Running examples in 'highfrequency-Ex.R' failed
    The error most likely occurred in:
    
    > ### Name: harModel
    > ### Title: HAR model estimation (Heterogeneous Autoregressive model for
    > ### Realized volatility)
    > ### Aliases: harModel
    > ### Keywords: forecasting
    >
    > ### ** Examples
    >
    > ##### Example 1: HARRVCJ #####
    > data("sample_5minprices_jumps");
    > data = sample_5minprices_jumps[,1];
    > data = makeReturns(data); #Get the high-frequency return data
    >
    > x = harModel(data, periods = c(1,5,10), periodsJ=c(1,5,10), RVest = c("rCov","rBPCov"),
    + type="HARRVCJ",transform="sqrt");
    > # Estimate the HAR model of type HARRVCJ
    > class(x);
    [1] "harModel" "lm"
    > x
    
    Model:
    sqrt(RV1) = beta0 + beta1 * sqrt(C1) + beta2 * sqrt(C5) + beta3 * sqrt(C10) + beta4 * sqrt(J1) + beta5 * sqrt(J5) + beta6 * sqrt(J10)
    
    Coefficients:
     beta0 beta1 beta2 beta3 beta4 beta5 beta6
     -0.8835 1.1957 -25.1922 38.9909 -0.4483 0.8084 -6.8305
    
    
     r.squared adj.r.squared
     0.9915 0.9661
    
    >
    > ##### Example 2: #####
    > # Forecasting daily Realized volatility for DJI 2008 using the basic harModel: HARRV
    > data(realized_library); #Get sample daily Realized Volatility data
    > DJI_RV = realized_library$Dow.Jones.Industrials.Realized.Variance; #Select DJI
    > DJI_RV = DJI_RV[!is.na(DJI_RV)]; #Remove NA's
    > DJI_RV = DJI_RV['2008'];
    >
    > x = harModel(data=DJI_RV , periods = c(1,5,22), RVest = c("rCov"),
    + type="HARRV",h=1,transform=NULL);
    > class(x);
    [1] "harModel" "lm"
    > x;
    
    Model:
    RV1 = beta0 + beta1 * RV1 + beta2 * RV5 + beta3 * RV22
    
    Coefficients:
     beta0 beta1 beta2 beta3
    4.432e-05 1.586e-01 6.213e-01 8.721e-02
    
    
     r.squared adj.r.squared
     0.4679 0.4608
    
    > summary(x);
    
    Call:
    "RV1 = beta0 + beta1 * RV1 + beta2 * RV5 + beta3 * RV22"
    
    Residuals:
     Min 1Q Median 3Q Max
    -0.0017683 -0.0000626 -0.0000427 -0.0000087 0.0044331
    
    Coefficients:
     Estimate Std. Error t value Pr(>|t|)
    beta0 4.432e-05 3.695e-05 1.200 0.2315
    beta1 1.586e-01 8.089e-02 1.960 0.0512 .
    beta2 6.213e-01 1.362e-01 4.560 8.36e-06 ***
    beta3 8.721e-02 1.217e-01 0.716 0.4745
    ---
    Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
    
    Residual standard error: 0.0004344 on 227 degrees of freedom
    Multiple R-squared: 0.4679, Adjusted R-squared: 0.4608
    F-statistic: 66.53 on 3 and 227 DF, p-value: < 2.2e-16
    
    > plot(x);
    Error in get(".xts_chob", .plotxtsEnv) : object '.xts_chob' not found
    Calls: plot ... chart_actions -> actions -> current.xts_chob -> get
    Execution halted
Flavors: r-devel-windows-ix86+x86_64, r-release-windows-ix86+x86_64, r-oldrel-windows-ix86+x86_64