Hi all,
I got the daily stock return data from 2005 - 2008, calculated from HF
minute data. (Thanks to Jeff and Josh).
Now, I set 05 - 07yr as the carlibration period for estimating the
parameters of ARMA(1,1)-GARCH(1,1) model, aqnd leave 08 for backtesting.
So I use the return data observations from 1:760 (yr 05-07) to estimate the
volatility on 2nd-Jan-08 (the position 761),
then use the return data from 1:761 to estimate the vol on 3rd-Jan-08...
1:762...
1:763....
...
...
and so on...
My codes are as follow:
start=length(AA.day.rn['2005-01::2007-12'])
end = length(AA.day.rn)
AA.day.forecast.data = array(0, dim=(end-start))
for (i in start:end) {
garch.fit <- garchFit(formula = ~arma(1,1)+garch(1,1), data
AA.day.rn[1:i])
garch.pred <- predict(garch.fit, n.ahead=1)
AA.day.forecast.data = garch.pred[,1]
}
Following my design, there should be 193 forecast data, however, when I
checked the object "AA.day.forecast.data", it gives the whole length
of the
original data( 953 observations).....
Also, I am not too sure that after the loop function of garch.fit, will
garch.pred catch the right estimation result?
Many thanks.
Mam
P.S Sample data AA.day.rn is attached with this email.
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2005-01-03,-0.0160003413464409
2005-01-04,-0.0162605208717803
2005-01-05,-0.00789997525315611
2005-01-06,0.00789997525315611
2005-01-07,0.0162605208717803
2005-01-10,-0.026476460766399
2005-01-11,-0.0180486182750128
2005-01-12,-0.00744756319835327
2005-01-13,0.000679347852214462
2005-01-14,0.0151645702990448
2005-01-18,-0.00570184338663404
2005-01-19,-0.0197017242135051
2005-01-20,-0.0113853222251254
2005-01-21,0.0106989803999675
2005-01-22,0
2005-01-24,-0.0110460218749062
2005-01-25,-0.0143334039292768
2005-01-26,0.00841519692528436
2005-01-27,0.0142141412054757
2005-01-28,-0.00275767151666129
2005-01-31,0.0184683771735892
2005-02-01,0.00169290712515258
2005-02-02,-0.00271002875886506
2005-02-03,-0.0116002665540771
2005-02-04,0.00786194444347021
2005-02-07,0.00847606362912368
2005-02-08,0.0127475728225028
2005-02-09,-0.0253178079842900
2005-02-10,0.00749322307173772
2005-02-11,0.0131469953614411
2005-02-14,0.00334336653797429
2005-02-15,-0.00468384931242616
2005-02-16,0.0264740808929451
2005-02-17,0.0133010882307514
2005-02-18,-0.00743978848075999
2005-02-22,-0.00292635552679821
2005-02-23,0.00907623734692597
2005-02-24,0.0131433211145509
2005-02-25,0.00729814440334975
2005-02-28,0.0119423166642143
2005-03-01,-0.0113102053915863
2005-03-02,-0.0111200510440779
2005-03-03,-0.000639181868997252
2005-03-04,0.0164873741090208
2005-03-07,-0.0142520227072014
2005-03-08,-0.00415535199164374
2005-03-09,-0.00836286636575956
2005-03-10,-0.0156253179030807
2005-03-11,0.0169164736667007
2005-03-14,0.00578965914448437
2005-03-15,0.0130637511843630
2005-03-16,-0.00666986750910725
2005-03-17,0.0057197486727869
2005-03-18,0.00347936457287501
2005-03-21,-0.00665296292041662
2005-03-22,-0.0160208489086053
2005-03-23,-0.0185824417928244
2005-03-24,-0.000987654401272575
2005-03-28,-0.0102632915462126
2005-03-29,-0.0161023271168310
2005-03-30,0.0110981465322548
2005-03-31,0.0198682032167254
2005-04-01,-0.00756956057973879
2005-04-04,-0.00629662395198816
2005-04-05,-0.00299650632072135
2005-04-06,0.0253511518765257
2005-04-07,0.019955602667443
2005-04-08,0.00540284168233596
2005-04-11,-0.0121174952079768
2005-04-12,0.00480077734335671
2005-04-13,-0.0298142627104263
2005-04-14,-0.0162497357703191
2005-04-15,-0.0114325387774712
2005-04-18,0.00101402746562895
2005-04-19,-0.0101868453069929
2005-04-20,-0.0137459209046353
2005-04-21,0.0202096277087982
2005-04-22,-0.00988251355294878
2005-04-25,0.0081855845864398
2005-04-26,-0.0198977405149510
2005-04-27,-0.0045146803545264
2005-04-28,-0.00558465674851671
2005-04-29,0.0156280312133603
2005-05-02,0.0058409374099817
2005-05-03,0.00376133115699817
2005-05-04,0.00544589501146264
2005-05-05,-0.00374086476037894
2005-05-06,-0.00102266925565475
2005-05-09,0.00102266925565475
2005-05-10,-0.0293884589995006
2005-05-11,-0.00316289140850845
2005-05-12,-0.0307386602671729
2005-05-13,-0.0332133849870702
2005-05-16,-0.00150206562225552
2005-05-17,0.0222974678055570
2005-05-18,0.0232484135781381
2005-05-19,-0.00648417257445821
2005-05-20,-0.00689032644468623
2005-05-23,0.00941694753253675
2005-05-24,-0.0101450145468602
2005-05-25,-0.0109850976493298
2005-05-26,0.00660552860530839
2005-05-27,0.00437956904402137
2005-05-31,-0.0131966724541699
2005-06-01,0.0208150659131796
2005-06-02,0.00324734183976894
2005-06-03,-0.0156111356986273
2005-06-06,0
2005-06-07,-0.00219780308247941
2005-06-08,0.00109950533341729
2005-06-09,-0.0121615650392757
2005-06-10,0.00480859073401652
2005-06-13,0.0110092855083694
2005-06-14,-0.00585653211271309
2005-06-15,0.0116789648641462
2005-06-16,0.0129778317487141
2005-06-17,0.0170458672729885
2005-06-20,-0.0138275558951433
2005-06-21,-0.00752556857542563
2005-06-22,-0.00396468351372103
2005-06-23,-0.0152841403253734
2005-06-24,-0.0301530381706874
2005-06-27,-0.0140820595381728
2005-06-28,0.0144599170903730
2005-06-29,-0.00644307705529101
2005-06-30,-0.00380952841666771
2005-07-01,-0.00229270257097536
2005-07-05,0.00229270257097536
2005-07-06,-0.00574164256767506
2005-07-07,0.0298755439041050
2005-07-08,0.0151602090057721
2005-07-11,0.0214203143569658
2005-07-12,-0.0064865092296067
2005-07-13,-0.00871465210244393
2005-07-14,0.00545555090153726
2005-07-15,-0.00326975768155702
2005-07-18,0.00689032644468623
2005-07-19,0.0157765911196059
2005-07-20,0.0151812271302498
2005-07-21,0.00314850706133329
2005-07-22,-0.000698812048005149
2005-07-25,-0.00877660539809177
2005-07-26,-0.00317852995842793
2005-07-27,-0.00425381711979966
2005-07-28,0.0148098616569823
2005-07-29,-0.0183685842739760
2005-08-01,-0.00500358442047455
2005-08-02,0.0300004853046150
2005-08-03,-0.00208841008727045
2005-08-04,-0.0211275464258756
2005-08-05,-0.0128941614530147
2005-08-08,0.0107566472797043
2005-08-09,0.0208230569436343
2005-08-10,0.00834787456481978
2005-08-11,0.0303622162900474
2005-08-12,-0.00134499011533284
2005-08-15,-0.0245243898630840
2005-08-16,0.00241088458431049
2005-08-17,-0.0236697440859048
2005-08-18,-0.0113355801110888
2005-08-19,0.00106818596590896
2005-08-22,0.00921012532422694
2005-08-23,-0.0242695709144582
2005-08-24,-0.0105321474744819
2005-08-25,0.00291651683219563
2005-08-26,-0.00657416538693534
2005-08-29,0.00693813263390153
2005-08-30,-0.0176216013498194
2005-08-31,-0.00371057939653596
2005-09-01,0.0107229720365862
2005-09-02,-0.0099797538678521
2005-09-06,0.00148478126757912
2005-09-07,-0.0153245383561584
2005-09-08,-0.00490844859376871
2005-09-09,0.0157720130093018
2005-09-12,0.0103781509687138
2005-09-13,-0.0118695755553837
2005-09-14,-0.0074906717291574
2005-09-15,-0.00830506849848511
2005-09-16,0.0210060236930496
2005-09-19,-0.0202481608299476
2005-09-20,-0.00607904607638243
2005-09-21,-0.00841949099152872
2005-09-22,-0.0610090154402338
2005-09-23,-0.0024539889615669
2005-09-26,-0.00904983551991778
2005-09-27,-0.00788222292947882
2005-09-28,0.00249584156181859
2005-09-29,0.00951009855152218
2005-09-30,0.00492611833605583
2005-10-03,-0.0227800283318200
2005-10-04,-0.0198864179870828
2005-10-05,-0.0150702529209981
2005-10-06,-0.00609227297725345
2005-10-07,0.0065260183755087
2005-10-10,0.00605276383135145
2005-10-11,-0.0147636203056001
2005-10-12,-0.00658330224919723
2005-10-13,-0.00795760167331405
2005-10-14,0.0193412622568538
2005-10-17,0.00953213456643365
2005-10-18,0.00387347159579665
2005-10-19,0.0178804252778484
2005-10-20,-0.0153064212826757
2005-10-21,0.000428357256496259
2005-10-24,0.0253713397420179
2005-10-25,-0.00083542193664199
2005-10-26,-0.00460733799312818
2005-10-27,0.00209687642358469
2005-10-28,0.00334588350618548
2005-10-31,0.0140964191571569
2005-11-01,0.0151177547221173
2005-11-02,0.00162074589773331
2005-11-03,0.0172591079215692
2005-11-04,0.00159045759172383
2005-11-07,0.0301333697410735
2005-11-08,0.00461539280840118
2005-11-09,0.00535783907035192
2005-11-10,0.00152555330883697
2005-11-11,0.0166292569715347
2005-11-14,-0.00262713605782494
2005-11-15,-0.0124788913731879
2005-11-16,-0.00190439973762757
2005-11-17,0.00835236442552612
2005-11-18,-0.00189214815203798
2005-11-21,0.0124225199985570
2005-11-22,-0.00112296474462381
2005-11-23,0.00746272120158942
2005-11-25,0.0158587133321832
2005-11-28,0.00983077278312816
2005-11-29,0.00973506877075225
2005-11-30,-0.0137285393167024
2005-12-01,0.00977383346144922
2005-12-02,0.0121734407010963
2005-12-05,-0.00463706912583151
2005-12-06,0.00889843921079958
2005-12-07,0.0130260599095524
2005-12-08,-0.00350385782440377
2005-12-09,-0.00739830748144454
2005-12-12,-0.00745345065458114
2005-12-13,0.00816041427540082
2005-12-14,0.00669134386062487
2005-12-15,-0.00987662349591156
2005-12-16,0.000708717251492796
2005-12-19,0.0112716938366213
2005-12-20,-0.0087951314528274
2005-12-21,0.0216715926413720
2005-12-22,0.0140774856987957
2005-12-23,0.00577938035641479
2005-12-27,-0.00782716264197969
2005-12-28,0.0118867081358580
2005-12-29,0.00101231660408185
2005-12-30,-0.0027017915793488
2006-01-03,0.007748059646973
2006-01-04,0.00901960348907904
2006-01-05,0.00794969406927404
2006-01-06,-0.00330469567113134
2006-01-09,-0.0190481949706944
2006-01-10,-0.00473453708211169
2006-01-11,-0.0109067202511346
2006-01-12,-0.0131081559527395
2006-01-13,0.0051948168771041
2006-01-17,-0.00172860890061788
2006-01-18,0.00276434177414986
2006-01-19,0.0174452859346483
2006-01-20,-0.0236758356852844
2006-01-23,0.0131081559527395
2006-01-24,0.00444521162816125
2006-01-25,0.0202641179190559
2006-01-26,0.0286722557688761
2006-01-27,0.0167529691353745
2006-01-30,-0.024908290799321
2006-01-31,0.0133400383981335
2006-02-01,0.0048363789257424
2006-02-02,-0.0142535616884421
2006-02-03,-0.00228646188130410
2006-02-06,0.0547210297276948
2006-02-07,-0.0452823917145428
2006-02-08,0.00999202511556252
2006-02-09,-0.00353414022467469
2006-02-10,-0.0267465389281054
2006-02-13,-0.000330633165518179
2006-02-14,0.0366864708912544
2006-02-15,-0.0154195152720966
2006-02-16,-0.044348763078383
2006-02-17,0.0277007533155196
2006-02-21,-0.00362737413399961
2006-02-22,-0.000660938556776625
2006-02-23,-0.00165426009602676
2006-02-24,-0.00198873118247445
2006-02-27,-0.0211240042435010
2006-02-28,-0.00645931193639759
2006-03-01,0.00781386683365648
2006-03-02,0.0117747365445333
2006-03-03,0.0165841280155354
2006-03-06,-0.0199342149008173
2006-03-07,-0.0203396842371228
2006-03-08,-0.0144880078150140
2006-03-09,0.00104184763721538
2006-03-10,0.0144730300267173
2006-03-13,-0.00480110661604405
2006-03-14,0.0173798888229042
2006-03-15,0.0100841190666259
2006-03-16,0.0113070709146919
2006-03-17,-0.00430820881768978
2006-03-20,-0.00967803315705007
2006-03-21,-0.0230675085695338
2006-03-22,0.00752140297925585
2006-03-23,0.00543479598595731
2006-03-24,0.0104465987943851
2006-03-27,0.0166227231738327
2006-03-28,-0.00528926852951983
2006-03-29,0.0180658551085013
2006-03-30,0
2006-03-31,0
2006-04-03,0.00584227562422823
2006-04-04,-0.00129533696868478
2006-04-05,0.0268558339482201
2006-04-06,0.0109805024834442
2006-04-07,0.0139429059690128
2006-04-10,0.0769610411361281
2006-04-11,-0.0245145657635857
2006-04-12,-0.00585653211271309
2006-04-13,-0.0100355033495516
2006-04-17,0.00856599537019198
2006-04-18,0.0335485482008147
2006-04-19,-0.00599060413715691
2006-04-20,-0.00775531676747843
2006-04-21,0.0148829306917104
2006-04-24,0.00904983551991823
2006-04-25,-0.0104712998672958
2006-04-26,-0.00427655676726024
2006-04-27,-0.0438026226583927
2006-04-28,0.00832347254863341
2006-05-01,0.00854832029322106
2006-05-02,0.00614486205670373
2006-05-03,-0.0161744446560204
2006-05-04,0.0219917967219336
2006-05-05,0
2006-05-08,0.0464672827532921
2006-05-09,0.0229895182246991
2006-05-10,-0.0202247943182163
2006-05-11,-0.00387275726084413
2006-05-12,-0.0361213084139944
2006-05-15,-0.0389678715571935
2006-05-16,0.00506631988151218
2006-05-17,-0.0449923907939818
2006-05-18,-0.0335156251255770
2006-05-19,0.0297773030149702
2006-05-22,-0.0281708769666964
2006-05-23,-0.0100016965383336
2006-05-24,0.0038835000263977
2006-05-25,0.0214099885960310
2006-05-26,0.0209611929110536
2006-05-30,-0.0250796843970238
2006-05-31,0.0144975750664869
2006-06-01,0.0189064983900682
2006-06-02,0
2006-06-05,-0.0372208719832559
2006-06-06,-0.0222338786732417
2006-06-07,-0.0114698947112584
2006-06-08,-0.0089389769199486
2006-06-09,0.00365145633926511
2006-06-12,-0.0150228163296964
2006-06-13,0
2006-06-14,-0.0047201705978881
2006-06-15,0.0227206566215088
2006-06-16,-0.00696173870879857
2006-06-19,-0.0324572101473817
2006-06-20,0.00308801068857667
2006-06-21,0.0220235904695367
2006-06-22,0.00501421742535735
2006-06-23,0.00631546057878518
2006-06-26,0.0161055247864574
2006-06-27,-0.0095004809585335
2006-06-28,0.00558018844997754
2006-06-29,0.0432413241731946
2006-06-30,0.0143170823994918
2006-07-03,0.0223080297432303
2006-07-05,0.00992340123372681
2006-07-06,0.00388234025044287
2006-07-07,0.00594355390084811
2006-07-10,-0.0541824542467886
2006-07-11,-0.0084812821885154
2006-07-12,0.0109805024834442
2006-07-13,-0.0333099788815328
2006-07-14,-0.00712207607441329
2006-07-17,-0.0183611715661396
2006-07-18,0.00626754484467984
2006-07-19,0.0185703332994493
2006-07-20,-0.0331449536601509
2006-07-21,-0.0137747852485708
2006-07-24,0.00607084495200816
2006-07-25,0.00803755164244269
2006-07-26,-0.00602209916309304
2006-07-27,-0.0162385164929080
2006-07-28,0.0138867599915558
2006-07-31,0.00737268755145193
2006-08-01,-0.0222831637218164
2006-08-02,0.00306800990608913
2006-08-03,0.00746019058428349
2006-08-04,-0.00101402746562895
2006-08-07,-0.00576565951974972
2006-08-08,-0.00682596507040012
2006-08-09,-0.0124053968574875
2006-08-10,0.00207828270163812
2006-08-11,-0.0220404234128875
2006-08-14,-0.0120997917484136
2006-08-15,0.0198517685527313
2006-08-16,0.0076923456231559
2006-08-17,-0.00699059120839207
2006-08-18,-0.000350815649975633
2006-08-21,0.00873367996875452
2006-08-22,0.0121004069340875
2006-08-23,-0.00585905518940333
2006-08-24,-0.00902783909276517
2006-08-25,0.00729803412934693
2006-08-28,-0.00103932107051685
2006-08-29,-0.0017346058122083
2006-08-30,-0.0118757944801939
2006-08-31,0.00210600288438911
2006-09-01,0.0170350025872175
2006-09-05,-0.00379900301492642
2006-09-06,-0.00381349049430213
2006-09-07,0.00415945140417051
2006-09-08,-0.00798754029683524
2006-09-11,-0.0544547130409243
2006-09-12,0.0087977107035293
2006-09-13,0
2006-09-14,0.0166489549576352
2006-09-15,0.00964465415010585
2006-09-18,0.0116629701599407
2006-09-19,-0.0134420135040960
2006-09-20,-0.0147087853587755
2006-09-21,0
2006-09-22,-0.00616278912630897
2006-09-25,-0.0076656699522788
2006-09-26,0.0134669915163652
2006-09-27,0.00288808865007306
2006-09-28,0.00575127394063468
2006-09-29,0.00464867634937693
2006-10-02,-0.0140113662772277
2006-10-03,-0.0189925358272744
2006-10-04,0.00147383961830050
2006-10-05,0.0149829223452103
2006-10-06,0.00614718985097973
2006-10-09,0.0146719396990140
2006-10-10,-0.0566361387980456
2006-10-11,0.0138139213639850
2006-10-12,-0.0138139213639850
2006-10-13,0.00262812240626920
2006-10-16,0.0306466664786029
2006-10-17,0.00181653092639777
2006-10-18,-0.00363636764338393
2006-10-19,0.00291015119897642
2006-10-20,-0.00181785180036753
2006-10-23,0.000363834823005948
2006-10-24,0.00797105669773268
2006-10-25,0.00216294244382098
2006-10-26,-0.00577827537664488
2006-10-27,0.0246837787071286
2006-10-30,-0.00141442739281050
2006-10-31,0.0230860200341825
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