search for: sged

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2011 Dec 06
1
rugarch package: is this forecast correct?
...he 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, data=as.vector(tt), out.sample=0, solver.control=list(trace=F) ) ttFore = ugarchforecast( ttFit, n.ahead=1, n.roll=0 ) print( as.array(ttFore)[,2,] ) } Produces two different results: -0.001087313 and -0.001092084, each repeated a few...
2004 Jul 04
1
Rmetrics 191.10057
...-06-25 fBasics/R The function "as.timeSeries" got two additional arguments which allow to pass dimension names and the timeDate format in POSIX notation to the returned "timeSeries" object. 2004-06-25 fSeries/R New functions "[dpqr]ged" and "[dpqr]sged" have been added which compute density, distribution function, quantile function and generate random variates for the symmetric and skew generalized error distribution. 2004-06-25 fSeries/R New functions "[dpqr]std" and "[dpqr]sstd" have been added which...