Displaying 20 results from an estimated 3000 matches similar to: "rugarch data format?"
2012 Oct 22
1
Egarch (1,1) with Student t distribution using rugarch
Hi
I was trying to implement Egarch (1,1) with Student 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
2013 Mar 12
1
rugarch: GARCH with Johnson Su innovations
Hey,
I'm trying to implement a GARCH model with Johnson-Su innovations in order to simulate returns of financial asset. The model should look like this:
r_t = alpha + lambda*sqrt(h_t) + sqrt(h_t)*epsilon_t
h_t = alpha0 + alpha1*epsilon_(t-1)^2 + beta1 * h_(t-1).
Alpha refers to a risk-free return, lambda to the risk-premium.
I've implemented it like this:
#specification of the model
2012 Sep 18
0
"rugarch" package
My code:
spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,
1), submodel = "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(),
2011 Dec 06
1
rugarch package: is this forecast correct?
Let me start with the code:
library(quantmod)
library(rugarch)
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,
2011 Oct 17
5
Install the rugarch-package
Hi,
i am unable to install the rugarch package.
More than that i do not even find this package in my list of possible
packages.
Its possible than the name has changed, or the package is not longer
availiable?
Is there a similar package avaliable for garch modelling except the fGarch
what i am using now?
many Thanks
Roland
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2015 Apr 10
1
RFC: sigma() in package:stats ?
I'm proposing to add something like this to the stats package :
----------------------------------------------------------
### "The" sigma in lm/nls - "like" models:
sigma <- function(object, ...) UseMethod("sigma")
## works whenever deviance(), nobs() and coef() do fine:
sigma.default <- function (object, use.fallback=TRUE, ...)
2009 Jun 30
1
garchFit in fGarch fitted values are all the same
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(
+
2013 Nov 16
1
r documentation rugarch egarch
Hi,
I`m about to switch from STATA to R and have serious troubles to find proper
documentations on the internet.
Right now I try to find a proper documentation of the eGARCH model being
part of the rugarch package.
Neither here
http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
nor here
http://cran.r-project.org/web/packages/rugarch/rugarch.pdf
could
2011 Jun 16
0
I need help with the mean equation in rgarch package
Dear R users,
I hope this email finds you well,
My name is Mariam and I am currently using R in my thesis
project. I is about modeling investors' sentiment.
My R skills are very modest and I am trying to solve a Garch in mean
equation using the "rgarch" package.
The main issue I am facing is with the mean equation, and I need a
code for it or a lead on how to edit already existing
2011 Jul 22
0
GARCH IN THE MEAN Model in R
Dear All,
Sorry to bother. I'd like to estimate GARCH-M( GARCH IN THE MEAN) model. And
find that a package called rgarch could help. But I always can't instal
rgarch package successfully. I posted my problems and got some suggestions
but still failed. Does any one knows other method that could do GARCH-M
model?
I appreciate your time and help!
Cheers,
Xi
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2012 May 18
3
look at the underlying source code
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
2017 Sep 22
0
require help
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
2011 Sep 20
1
Data
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))
2017 Jul 29
1
rugarch package: VaRTest()
Dear all,
I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms.
Do I have to use positive values for VaR in the VaRTest() formula?
Thanks for your help.
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2012 Jul 26
1
gamma distribution in rugarch package
Hi guys,
does anyone know if there is the possibility to fit a gamma distribution
using ugarch?honestly i don't know if maybe is possible to fix some
parameters that reduce ghyp or ged in a gamma distribution..
thanks a lot
sara
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2013 Jun 16
4
can't install rugarch and nloptr packages in R 3.01 opensuse linux
I can't install rugarch package because installation of nloptr package fails .
I use opensuse 12.3
# uname -a
Linux candide 3.7.10-1.11-desktop #1 SMP PREEMPT Thu May 16 20:27:27 UTC 2013 (adf31bb) x86_64 x86_64 x86_64 GNU/Linux
my gcc version is 4.8.1
I compiled and installed R 3.01 . then I tried to install rugarch package but it fails because it can't install depended package nloptr.
2012 Oct 25
2
Egarch (1,1) with Student t distribution in RExcel
Hi
I want to implement Egarch (1,1) with t distribution 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)"
2012 Oct 07
1
(no subject)
Dear r-helper
I am pleased to send you this email. I have the R 2.11.1 and R 2.15.1
versions but they dose't have GARCH models. May you please guide me in
which version can i find GARCH models.
Best.
M.Izadi
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2009 Jun 10
2
Predict GARCH
hello,
i was trying to predict values for a garch, so i did:
predict(fitgarch,n.ahead = 20)
but this doesn't work. Someone can tell me how to get the 20 values ahead of a garch model.
thanks in advance
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2010 Jun 21
2
Garch in the mean
Hello,
I was wondering if anyone knew how to fit a series using a Garch-M (Garch
in the mean) model. From what I gathered from the documentation, it does
not seem to be implemented in either fGarch, fSeries, or tSeries. Perhaps
there is an option that allows this functionality. Otherwise, if it's
possible to modify an existing function I would appreciate any guidance on
how to go about