similar to: rugarch package: is this forecast correct?

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

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

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", start.pars = list(),

Hi, i am unable to install the rugarch package. More than that i do not even find this package in my list of possible packages. Its possible than the name has changed, or the package is not longer availiable? Is there a similar package avaliable for garch modelling except the fGarch what i am using now? many Thanks Roland -- View this message in context:

Dear all, I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms. Do I have to use positive values for VaR in the VaRTest() formula? Thanks for your help. [[alternative HTML version deleted]]

Hi guys, does anyone know if there is the possibility to fit a gamma distribution using ugarch?honestly i don't know if maybe is possible to fix some parameters that reduce ghyp or ged in a gamma distribution.. thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/gamma-distribution-in-rugarch-package-tp4637893.html Sent from the R help mailing list archive at

Hi, I`m about to switch from STATA to R and have serious troubles to find proper documentations on the internet. Right now I try to find a proper documentation of the eGARCH model being part of the rugarch package. Neither here http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf nor here http://cran.r-project.org/web/packages/rugarch/rugarch.pdf could

I am sorry to ask this group but the maintainer of this package did not leave an email address. Has anyone used or is using the 'rugarch' package with time-series data (ts)? I try to fit a GARCH model to my data using the following: > gf <- ugarchfit(data=l[["MEN"]]$series, spec=spec) and I get: Error in .extractdata(data) : rgarch-->error: class of

I can't install rugarch package because installation of nloptr package fails . I use opensuse 12.3 # uname -a Linux candide 3.7.10-1.11-desktop #1 SMP PREEMPT Thu May 16 20:27:27 UTC 2013 (adf31bb) x86_64 x86_64 x86_64 GNU/Linux my gcc version is 4.8.1 I compiled and installed R 3.01 . then I tried to install rugarch package but it fails because it can't install depended package nloptr.

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)"

Now I am getting confused. I see two postings from me in the archives: https://stat.ethz.ch/pipermail/r-devel/2015-May/071205.html https://stat.ethz.ch/pipermail/r-devel/2015-April/070982.html Were these actually published to the list? If so - big apology. Regards, Ivan On Fri, May 29, 2015 at 12:43 AM David Winsemius <dwinsemius at comcast.net> wrote: > > On May 28, 2015, at 9:11

Dear r-helper I am pleased to send you this email. I have the R 2.11.1 and R 2.15.1 versions but they dose't have GARCH models. May you please guide me in which version can i find GARCH models. Best. M.Izadi [[alternative HTML version deleted]]

Hello, This turned out to be surprisingly hard for me: Let's say I have mm = matrix(as.character(seq(1,30, 1)), nrow=3); mm [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [1,] "1" "4" "7" "10" "13" "16" "19" "22" "25" "28" [2,] "2" "5"

hi someone can show me how can i get the source code of a function. Is a S4 class or Method. (I'm not an expert in R environment) Exactly, Function "ugarchsim" from library (rugarch). I need to know (in detailed ) how the variance and mean ecuation of a arma/garch process are calculated. With other packages like "fGarch" i used to invoked the function debug () and allows

Hello, Over the last two months I have sent two messages (same topic) to the list. None of them showed on the list. For the first, I got a message that it is in some queue and waiting for an administrator to look at it. Is the queue THAT long?! [[alternative HTML version deleted]]

Hello, I have some data, and I want to generate random numbers following the distribution of this data (in other words, to generate a synthetic data set sharing the same stats as a given data set). Reading an old thread I found the following text: >If you can compute the quantile function of the distribution (i.e., the >inverse of the integral of the pdf), then you can use the

Dear list, Can one suggest me if there is an R function/package to estimate and simulate vector autoregressive (VAR) model allowing for the GARCH effect please? Thanks Mamush [[alternative HTML version deleted]]

Hi, I try to understand how the generalized hyperbolic distribution is standardized. One reference is the rugarch vignette, page 16-18: http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf I looked at the code of the dsgh function in the fBasics package: > dsgh function (x, zeta = 1, rho = 0, lambda = 1, log = FALSE) { if (length(zeta) == 3) {

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 ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1,

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))