Hi all,
I was trying garchFIt() of fSeries to fit volatility of monthly log returns
of S&P500. I tried residuals of normal, student t, skew normal, skew t. But
all innovations except normal got exaxtly same coefficients, even if I
changed their parameters of skew and shape.
Is this correct for the data or something wrong? I am attaching the code,
thank you.
Muster
#GARCH analysis of monthly return
rm(list=ls(all=TRUE))
sp500 <- read.csv('s&p_m.csv', header=TRUE)
sp500 <- sp500[,2] #only adjusted close
n <- length(sp500)
logr <- log(sp500[1:n-1] / sp500[2:n])
acf(logr)
ar5 <- arima(logr, order = c(5, 0, 0), include.mean = T)
logr<- ar5$res #remove mean
acf(logr)
#fit GARCH distribution
hist(logr, freq = F, ylim = c(0, 12), breaks = 'FD')
norm_fit <- normFit(logr)
curve(dnorm(x, norm_fit$est[1], norm_fit$est[2]), -.15, .15, add = TRUE,
col=2)
t_fit <- stdFit(logr)
curve(dstd(x, t_fit$est[1], t_fit$est[2], t_fit$est[3]), -.15, .15, add TRUE,
col=6)
snorm_fit <- snormFit(logr)
curve(dsnorm(x, snorm_fit$est[1], snorm_fit$est[2], snorm_fit$est[3]), -.25,
.15, add = TRUE, col=4)
st_fit <- sstdFit(logr)
curve(dsstd(x, st_fit$est[1], st_fit$est[2], st_fit$est[3], st_fit$est[4]),
-.25, .15, add = TRUE, col=3)
library(fSeries)
#normal innovation
garch_norm <- garchFit(series = logr, include.mean = F)
#t inovation
garch_t <- garchFit(series = logr, cond.dist = 'dstd', include.mean =
F,
include.shape = T)
garch_t1 <- garchFit(series = logr, cond.dist = 'dstd', include.mean
= F,
shape = t_fit$est[3], include.shape = T)
#skew normal innovation
garch_snorm <- garchFit(series = logr, cond.dist = 'dsnorm',
include.mean F, include.skew = T)
garch_snorm1 <- garchFit(series = logr, cond.dist = 'dsnorm',
include.mean F, skew = snorm_fit$est[3], include.skew = T)
#skew t innovation
garch_st <- garchFit(series = logr, cond.dist = 'dsstd', include.mean
= F,
include.skew = T, include.shape = T)
garch_st1 <- garchFit(series = logr, cond.dist = 'dsstd',
include.mean = F,
skew = st_fit$est[4], shape = st_fit$est[3], include.skew = T, include.shape= T)
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