Displaying 5 results from an estimated 5 matches for "sgarch".
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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",...
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)"
2013 Mar 12
1
rugarch: GARCH with Johnson Su innovations
...his:
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), submodel = NULL, external.regressors =
NULL, variance.targeting = 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...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
....736 1254.2695
5 2017-05-16 17:57:00 0.000 0.0000
6 2017-05-16 17:58:00 0.000 0.0000
> garch11.spec = ugarchspec(mean.model = list(armaOrder = c(1,1)),
variance.model = list(garchOrder = c(1,1),
model = "sGARCH"),
distribution.model = "norm")
> dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 500,...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
....736 1254.2695
5 2017-05-16 17:57:00 0.000 0.0000
6 2017-05-16 17:58:00 0.000 0.0000
> garch11.spec = ugarchspec(mean.model = list(armaOrder = c(1,1)),
variance.model = list(garchOrder = c(1,1),
model = "sGARCH"),
distribution.model = "norm")
> dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 100,...