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Dear Users, I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess. By t-GARCH I want to mean that: e_t=n_t*sqrt(h_t) and h_t=ct2+a*(e_t)^2+b*h_t-1. where n_t is a random variable with t-Student distribution. If someone could give some guidelines, I can going developing the model. I did it in matlab, but the loops are very slowly, so I would like to try R. Thanks in advance, Rick [[alternative HTML version d...

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 spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1),...

...each period t * the production function Ht(St, Xt) = alpha*St*Xt Ht the catch for each period t Xt fishing effort for each period t alpha parameter of boat productivity * the dynamic of the fish stock S(t+1) = S(t) + Gt - Ht I would like to modelise the following system: S_(t+1) = S_t + G_t - H_t G_t = r*S_t*(1-S_t / sbar) H_t = alpha * S_t * X_t S_1961 = S_0 I know only H_t on period (1961 - 1994) and X_t on the same period. I don't know r, sbar, alpha and S_0 (the initial level of the stock) (and of course S_t on this period) and I want to estimate this four parameters. I have writt...

...adding a regression to the mean formula, how to estimate the model in R? using garchFit or garchOxFit? For example, Observations is {x,y}_t,there may be some relation between x and y. the model is y_t=gamma0 + *gamma1*x_t*+psi*e_{t-1}+e_t the gamma1*x_t is regression. e_t=sqrt(h_t)*N(0,1) h_t=alpha0+alpha1*e_t^2+beta*h_{t_1}~~~~~~~GARCH(1,1). I didn't know how to estimate the model using function garchFit or garchOxFit or other functions? because the argument in garchFit/garchOxFit is formular.mean=~arma(1,1). Do you have some instrucitons? thank you v...

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Hi, I am trying to write the Realized GARCH model with order (1,1) The model can be describe bellow: r_t = sqrt( h_t) * z_t logh_t = w + b*logh_(t-1) + r*logx_(t-1) logx_t = c + q*logh_t + t1*z_t +t2*(z_t ^2 -1) + u_t and z follow N(0,1) , u follow N(0, sigma.u^2) But I'm troubled with the simulation check for my code. After I simulate data from the model and estimate the data, I can't get precise e...

I have data that looks like this: > df1 group id 1 red A 2 red B 3 red C 4 blue D 5 blue E 6 blue F I want a list of the groups containing vectors with the ids. I am avoiding subset(), as it is only recommended for interactive use. Here's what I have so far: df1 <- data.frame(group=c("red", "red", "red", "blue",