Displaying 20 results from an estimated 300 matches similar to: "gamma distribution in rugarch package"
2010 Jun 17
1
simulating data from a multivariate dist
Sir,
I am working on fitting distribution on multivariate financial data and then
simulate observations from that fitted distribution. I use stepAIC.ghyp()
function of 'ghyp' library which select the best fitted distribution from
generalized hyperbolic distribution class on the given dataset.
data(indices)
# Multivariate case:
aic.mv <- stepAIC.ghyp(indices, dist =
2011 Dec 17
2
Problem with reproducing log likelihood estimated with ghyp package
I was playing around with the ghyp package and simulated series of
t-distributed variables when suddenly i was not able to reproduce the log
likelihood values reported by the package. When trying to reproduce the
likelihood values, I summed the log(dt(x,v)) values and it worked with some
simulated series but not all.
Is there any obvious flaws with this script?
library("ghyp")
2012 Jul 25
3
lagged variables
hi guys,
i have some trouble in creating lagged variables to use as external
regressors.
i'm trying to use lag(x) but it gives me as result the same time series (x),
adding this part at the end:
attr(,"tsp")
[1] 0 2323 1
where do i wrong?are there other functions to be used?
thanks
sara
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2013 Nov 16
1
r documentation rugarch egarch
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
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", start.pars = list(),
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
2011 Oct 17
5
Install the rugarch-package
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
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2010 Sep 21
2
Need help for EM algorithm ASAP !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
I created a EM algorithm for Generalized hyperbolic distribution.
I want to estimate mutheldaplus, sigmatheldaplus, betasigmaplus in my code.
After getting use these value , then my iteration have to be begin of this code.
But I can not to do iteration part.
Can you help me use my code and get iteration ?
Do know any useful code for EM algorithm for Generalized Hyperbolic
library(QRMlib)
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,
2017 Jul 29
1
rugarch package: VaRTest()
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.
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2011 Nov 14
0
rugarch data format?
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
2013 Jun 16
4
can't install rugarch and nloptr packages in R 3.01 opensuse linux
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.
2008 Mar 12
3
Types of quadrature
Dear R-users
I would like to integrate something like \int_k^\infty (1 - F(x)) dx, where F(.) is a cumulative distribution function. As mentioned in the "integrate" help-page: integrate(dnorm,0,20000) ## fails on many systems. This does not happen for an adaptive Simpson or Lobatto quadrature (cf. Matlab). Even though I am hardly familiar with numerical integration the implementation
2013 Mar 12
1
rugarch: GARCH with Johnson Su innovations
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
2010 Mar 03
1
asterisk SIP, SIPAddHeader() and Cisco GED-125
Greetings:
I'm in the situation where I'm trying to splash information picked off
by an asterisk IVR into a Cisco call center environment. I'm under the
impression that the ONLY way to do this is to setup socket connections
with the Cisco "voice processor", or CVP, and send packets
corresponding to GED-125. Cisco has a detailed 100+-page document
detailing the internals of
2010 Jul 23
7
fail rollback transaction with manual raise exception
With :
PostgreSQL 8.4 or postgresql-8.3
rails 2.3.4
pg 9.x or pg 8.x
I test this code:
=========================
class NkiBatch < ActiveRecord::Base
Bank.connection.transaction do
bank = Bank.new(:name => "ddsjdsjdsjk")
bank.save!
raise ActiveRecord::Rollback.new
end
end
and this:
=========================
class NkiBatch < ActiveRecord::Base
2003 Jan 07
1
help interpreting output?
Dear R experts,
I'm hoping someone can help me to interpret the results of building
gam's with mgcv in R.
Below are summaries of two gam's based on the same dataset. The first
gam (named "gam.mod") has six predictor variables. The second gam
(named "gam.mod2") is exactly the same except it is missing one of the
predictor variables. What is confusing me is
2007 Sep 26
2
libFLAC++ Seeking
Hello,
I've a problem with seeking using libFLAC++ API.
The call to seek_absolute always returns with false, whatever I do.
I tried many different ways, finally I tried to reduce my added code to near zero, so I used the cpp decode example in ...\flac-1.2.1\examples\cpp\decode\file\.main.cpp and added only one line:
bool b=decoder.seek_absolute(1000);
right before
ok =
2012 Jul 22
1
dummy variable
Hi,
i need a little help! i must create a dummy variable to insert as external
regressor in the variance equation of a garch model; this dummy is referred
to the negative sign of returns of an asset, so it has to be 1 when returns
are negative and 0 when they are positive, and in my model the dummy is
multiplied by another time series, the daily range. (have i explained
well?!)
thank's a lot
2007 Feb 27
1
Additional args to fun in integrate() not found?
Hello, fellow Rdicts,
I have the code for the program below. I need to integrate a function
of "x" and "p". I use integrate to integrate over "x" and pass "p" as
an additional argument. "p" is specified and given default value in
the argument list. Still, integrate() cannot read "p", unless I
explicitly insert a numeric value in the