Displaying 6 results from an estimated 6 matches for "bollerslev".
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bollerslev's
2011 Nov 27
0
Need Help with my Code for complex GARCH (GJR)
...695.n4.nabble.com/file/n4112396/GJR_Garch.png
W stands for the Day of the Week Dummies. r stands for returns of stock
market indices. I stands for the GJR-term.
I need some help with three problems:
1.) implementation of the GJR-term in the variance equation
2.) compute robust covariance matrix (Bollerslev/Wooldbridge,1992) for
robust standard errors
3.) extract the residuals amd volatility of my estimation
First of all my GARCH-Code:
garch2<-function(par,x,Di,Mi,Do,Fr,y,z,d){
x<<-ts(x)
y<<-ts(y)
z<<-ts(z)
Di <<-ts(Di)
Mi<<-ts(Mi)
Do<<-t...
2004 Nov 10
2
fSeries
...models of the following type, ARCH(2)
# and GARCH(1,1),
# with normal conditional distribution functions.
#
# Author:
# (C) 2002, Diethelm Wuertz, GPL
#
############################################################################
####
# PART I: Estimation:
# Settings:
set.seed(547)
# Bollerslev's GARCH(1,1) with normal innovations:
model = list(omega = 1e-6, alpha = 0.1, beta = 0.8, mu = 0)
x = garchSim(model, n = 1000)
fit = garchFit(as.numeric(x), order = c(1, 1))
print(fit)
# Summary and Diagnostic Analysis:
summary(fit)
# Plot Results:
par(mfrow = c(2, 2))
plot(fit)
###...
2002 Nov 27
1
[No Subject]
Hi,I try to calcualte AIC or Loglik to GARCH model,But the Packege Tseries do not deal with them.How can I calculate AIC or Loglike to GARCH Model By Packege Tseries?
Thanks.
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2003 Feb 21
2
GARCH with t-innovations
Dear all,
Can garch function fit also t-innovations or only Gaussian innovations?
--
With kind regards -- Lepo pozdravljeni -- Gr??e (Gr?ezi) --
Gorazd Brumen
-------------------------------
Mail 1: gbrumen at student.ethz.ch
Mail 2: gorazd.brumen at fmf.uni-lj.si
Tel.: +41 (0)1 63 34906
Homepage: valjhun.fmf.uni-lj.si/~brumen
2004 Nov 11
0
ROracle SQL length limitation
...models of the following type, ARCH(2)
# and GARCH(1,1),
# with normal conditional distribution functions.
#
# Author:
# (C) 2002, Diethelm Wuertz, GPL
#
############################################################################
####
# PART I: Estimation:
# Settings:
set.seed(547)
# Bollerslev's GARCH(1,1) with normal innovations:
model = list(omega = 1e-6, alpha = 0.1, beta = 0.8, mu = 0)
x = garchSim(model, n = 1000)
fit = garchFit(as.numeric(x), order = c(1, 1))
print(fit)
# Summary and Diagnostic Analysis:
summary(fit)
# Plot Results:
par(mfrow = c(2, 2))
plot(fit)
###...
2012 Jul 19
1
Switching log(J) to log(J+1) to avoid log(0) in HAR-RVJ model
...Jindicators = teststats > qnorm(1-alpha);
* J[!Jindicators] = 1;*
the full code is (which I take no credit for):
# START implementation of paper:
# ROUGHING IT UP: INCLUDING JUMP COMPONENTS IN THE MEASUREMENT, MODELING,
AND FORECASTING OF RETURN VOLATILITY
# Torben G. Andersen, Tim Bollerslev, and Francis X. Diebold
# data: a xts object with the intraday data
# periods: a vector with time periods to aggregate over, expressed in days
# RVest: estimator for daily realized volatility,
# in case a vector is supplied, the first estimator is the unrobust
estimator, the second is the robu...