search for: ugarchfit

...on model using RExcel and VBA. May I know the syntax. Following is the code that I 'm using. rinterface.RRun "spec=ugarchspec(variance.model=list(model=(eGARCH),garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model=(std))" rinterface.RRun "fit = ugarchfit(Data = b, spec = spec)" rinterface.RRun "output=sigma(fit)" Please let me know the error and it's solution. Thanks Dheeraj [[alternative HTML version deleted]]

...ch) getSymbols("SPY", from="1900-01-01") rets=na.trim(diff(log(Cl(SPY)))) tt = tail(rets["/2004-10-29"], 1000) spec = ugarchspec(variance.model=list(garchOrder=c(1,1)), mean.model=list(armaOrder=c(2,5)), distribution.model="sged") for(ii in 1:10) { ttFit = ugarchfit( spec=spec, data=as.vector(tt), out.sample=0, solver.control=list(trace=F) ) ttFore = ugarchforecast( ttFit, n.ahead=1, n.roll=0 ) print( as.array(ttFore)[,2,] ) } Produces two different results: -0.001087313 and -0.001092084, each repeated a few times. What is the explanation for that? Sin...

...t t distribution using rugarch. But I was not getting any value. Following were the commands that I was using: library(rugarch) spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std") fit=ugarchfit(data=b,spec=spec) sigma(fit) May I know the error that I'm making in implementing the model? Any help with the syntax/commands or any useful content will be appreciated? Dheeraj [[alternative HTML version deleted]]

Hey everybody, i am using the rugarch-package and its great! I have a pretty easy problem, but i just dont get it, so thanks if you can help me. Normally i use: / data(DATANAME) spec = ugarchspec() fit = ugarchfit(data = x[,1], spec = spec) fit slotNames(fit) names(fit at fit) coef(fit) infocriteria(fit) likelihood(fit) nyblom(fit) signbias(fit) head(as.data.frame(fit)) head(sigma(fit)) head(residuals(fit)) head(fitted(fit)) gof(fit,c(20,30,40,50)) uncmean(fit) uncvariance(fit) plot(fit,which="all&quo...

...ng = FALSE), mean.model = list( armaOrder = c(0,0), include.mean = TRUE, archm = TRUE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "jsu", start.pars = list(), fixed.pars = list()) #fit the model to historical closing price (prices) fit = ugarchfit(data = prices, spec = spec) #save coefficients of the fitted model into 'par' par <- coef(fit) m = coef(fit)["mu"] lambda = coef(fit)["archm"] gamma = coef(fit)["skew"] delta = coef(fit)["shape"] #GARCH parameter a0 = coef(fit)["omega"]...

thankx to everyone for your valuable suggestions. one query regarding the GARCH model. I have applied the GARCH model for the same data that I send you all . and my results coming like Error in .sgarchfit(spec = spec, data = data, out.sample = out.sample, : ugarchfit-->error: function requires at least 100 data points to run can you suggest something on it. On Fri, Sep 22, 2017 at 6:02 AM, Gabor Grothendieck <ggrothendieck at gmail.com > wrote: > Assuming the input data.frame, DF, is of the form shown reproducibly > in the Note below, to con...

...nctions Aliases: sigma pmclust::PARAM A Set of Parameters in Model-Based Clustering. Aliases: SIGMA qualityTools::sigma Get and set methods Aliases: sigma robustbase::sigma Extract Residual Standard Error 'Sigma' Aliases: sigma rugarch::uGARCHfit-class class: Univariate GARCH Fit Class Aliases: sigma shapes::distCholesky Internal function(s) Aliases: sigma which also shows to the curious why I am making this proposition: I'm co-author of both the 'lme4' and 'robustbase' packages which already make u...

hi someone can show me how can i get the source code of a function. Is a S4 class or Method. (I'm not an expert in R environment) Exactly, Function "ugarchsim" from library (rugarch). I need to know (in detailed ) how the variance and mean ecuation of a arma/garch process are calculated. With other packages like "fGarch" i used to invoked the function debug () and allows

Assuming the input data.frame, DF, is of the form shown reproducibly in the Note below, to convert the series to zoo or ts: library(zoo) # convert to zoo z <- read.zoo(DF) # convert to ts as.ts(z) # Note: DF <- structure(list(year = c(1980, 1981, 1982, 1983, 1984), cnsm = c(174, 175, 175, 172, 173), incm = c(53.4, 53.7, 53.5, 53.2, 53.3), with = c(60.3, 60.5, 60.2, 60.1, 60.7)),

Dear all- Package /fGarch/ version 2100.78 in R version 2.8.1 (2008-12-22) running on linux 2.6.22.9-91.fc7 In trying to fit garch models in above environment. I am getting "reasonable" fitted coefficients, but the fitObject@fitted are all the same. This is true even for the help page example: library(fGarch) R> X.timeSeries = as.timeSeries(msft.dat) R> head( +

I am sorry to ask this group but the maintainer of this package did not leave an email address. Has anyone used or is using the 'rugarch' package with time-series data (ts)? I try to fit a GARCH model to my data using the following: > gf <- ugarchfit(data=l[["MEN"]]$series, spec=spec) and I get: Error in .extractdata(data) : rgarch-->error: class of data object not recognized > class(l[["MEN"]]$series) [1] "ts" The documentation states that : data A univariate data object. Can be a nu...

...t;Null", external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "norm", start.pars = list(), fixed.pars = list()) ugarchfit(spec, X2, out.sample = 0, solver = "solnp", solver.control = list(trace = TRUE, tol=1e-4, delta=1e-8), fit.control = list(stationarity = 1, fixed.se = 0, scale=0)) I got this error massage *In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, ... : rugarch-->warning:...