Displaying 3 results from an estimated 3 matches for "wig20".
2005 Feb 10
2
Writing output to a file in a loop
...but I'd like to have stored results of the models in some
file, that I could check later, what are the models like, to be able to
compare if I should use GARCH(1,1) or GARCH(0,4) or any other, that
suits the data best. The data file looks like that:
TICKER;DTYYYYMMDD;OPEN;HIGH;LOW;CLOSE;VOL
WIG20;19940414;1000,00;1000,00;1000,00;1000,00;71600
WIG20;19940418;1050,47;1050,47;1050,47;1050,47;99950
WIG20;19940419;1124,92;1124,92;1124,92;1124,92;138059
...
I wrote a script to do that, but when I use sink() to save the results
in a text file, after running the script files are empty. I read in...
2005 Oct 09
1
Rmetrics fMultivar how to?
Hi Everybody,
I am a total beginner at this so please bear with me.
I downloaded by hand the file WIG20.txt (Warsaw Stock Exchange Index of 20
most important stocks). The format is this:
Name,Date,Open,High,Low,Close,Volume
WIG20,19940414,1000.00,1000.00,1000.00,1000.00,71600.000
WIG20,19940418,1050.50,1050.50,1050.50,1050.50,99950.000
WIG20,19940419,1124.90,1124.90,1124.90,1124.90,138059.000
W...
2005 Jun 03
0
RE: GARCH (1 , 1), Hill estimator of alpha, Pareto estimator]
...s, that
garch function is in the tseries package and I haven't seen any call to
it, so first try:
library(tseries)
and then:
m1<- garch(dax)
summary(m1)
plot(m1)
My scripts usually look like that:
library(tseries)
#import data from csv file with first row Open, High, Low, Close, Volume
wig20 <- read.csv("wig20.txt", sep=";", dec=",")
#multiply by 100, because sometimes it's easier to converge the model
r <- 100*diff(log(wig20$CLOSE))
kpss.test(r)
pp.test(r)
acf(r)
pacf(r)
#if there is no significant autocorelation:
y <- r - mean(r)
fit &l...