Displaying 10 results from an estimated 10 matches for "ugarchspec".
2010 Sep 13
0
Help with ugarchspec function
Hi
I am using the ugarchspec function from the rgarch package to fit a mean
variance model jointly. Following is the code I'm using:
> spec = ugarchspec(variance.model = list(model="eGARCH",
garchOrder=c(1,1)), mean.model = list(armaOrder=c(1,1)))
On doing this, I get the following error:
Error in ugarchspe...
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)"
rinterface.RRun "output=sigma(fit)"
Please let me know the error and it's solutio...
2011 Dec 06
1
rugarch package: is this forecast correct?
Let me start with the 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.a...
2012 Oct 22
1
Egarch (1,1) with Student t distribution using rugarch
Hi
I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value.
Following were the commands that I was using:
library(rugarch)
spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std")
fit=ugarchfit(data=b,spec=spec)
sigma(fit)
May I know the error that I'm making in implementing the model?
Any help with the syntax/commands or...
2011 Sep 20
1
Data
Hey everybody,
i am using the rugarch-package and its great!
I have a pretty easy problem, but i just dont get it, so thanks if you can
help me.
Normally i use:
/
data(DATANAME)
spec = ugarchspec()
fit = ugarchfit(data = x[,1], spec = spec)
fit
slotNames(fit)
names(fit at fit)
coef(fit)
infocriteria(fit)
likelihood(fit)
nyblom(fit)
signbias(fit)
head(as.data.frame(fit))
head(sigma(fit))
head(residuals(fit))
head(fitted(fit))
gof(fit,c(20,30,40,50))
uncmean(fit)
uncvariance(fit)
plot(fit,w...
2013 Mar 12
1
rugarch: GARCH with Johnson Su innovations
...f 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), 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),
distri...
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 =
FALS...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...on_x Speed
1 2017-05-16 17:53:00 -0.132 421.4189
2 2017-05-16 17:54:00 -0.296 1296.8882
3 2017-05-16 17:55:00 -0.572 0.0000
4 2017-05-16 17:56:00 -0.736 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)
),...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...on_x Speed
1 2017-05-16 17:53:00 -0.132 421.4189
2 2017-05-16 17:54:00 -0.296 1296.8882
3 2017-05-16 17:55:00 -0.572 0.0000
4 2017-05-16 17:56:00 -0.736 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)
),...
2018 May 22
0
DCC model simulation in R
.... I am not sure
whether this dccsim function actually does what I intend to do. Therefore,
I would like to have your helpful suggestion regarding the use of dccsim
function in this purpose.
The simulation code what I describe above is as follows:
# first specify univariate egarch model
uspec<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1)),
distribution.model="norm",mean.model=list(armaOrder=c(0,0),include.mean=F))
model=multispec(replicate(2,uspec)) # replicate for two series
# specify ADCC model
mvspec=dccspec(model,dccOrder = c(1,1),model = "aDCC...