Displaying 20 results from an estimated 600 matches similar to: "multivariate Stochastic Volatility and GARCH"
2006 Nov 20
1
how to forecast the GARCH volatility?
Dear All,
I have loaded package(tseries), but when I run
predict.garch(...) R tells me could not find function
"predict.garch", however ?predict.garch shows me
something. I am confused about this. How can I
forecast garch volatility?
I have tried:
predict(...,n.ahead=...),give me fitted value
predict(...,n),give me NA,NA
2010 Jan 27
0
GARCH (1,1) negative volatility???
Dear all,
I am using GARCH (1,1) model to simulate volatility.
But seems that I am missing something about how it works in R.
The following code produces negative results, though vola cannot be.
What is wrong here?
library("fSeries")
library("fGarch")
spec = garchSpec(model = list(omega = 0.01, alpha = 0.13, beta = 0.86))
gat <- garchSim(spec, n = 10)
Thanks a lot!
2008 May 17
7
SAMBA PDC with LDAP backend syncing unix/samba accounts ...
Hi all ,
I'm running Debian Etch . I just finished
configuring SAMBA
as PDC to authenticate against LDAP server which works.
The system in question uses default debian etch packages.
As My Linix/unix accounts can authenticate against it. The
LDAP works.
I Used the default shipped smbldap-populate script to
setup SAMBA.
Everything seems to work as Anonymous User or as
user
2004 Jun 01
2
Importing binary data
Hi everybody!
I've a large dataset, about 2 Mio entries of the format which I would like
to import into a frame:
<integer><integer><float><string><float><string><string>
Because to the huge data amount I've choosen a binary format instead
of a text format when exporting from Matlab.
My import function is attached below. It works fine for only
2008 Feb 07
2
where do I find stochastic volatilities models in R or Matlab?
Hi all,
Does anybody have the source code of stochastic volatility models in R
or Matlab, for example, the Bayesian based or the simulation based SV
estimations as described by Prof Eric Zivot in the following
discussion?
https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html
--------------
I am wondering what is the current status of estimating stochastic vol
models and what's
1999 Jul 22
1
Mounting smb
Hi, I noticed your message in the digest and I'm having the same
problem. I can get into my Win98 machine use smbclient, but I want to
mount the drive in /mnt. But when I go to do that, it whines about
client names and the like. Have you managed to do it? If so, can you let
me know how as I'm almost tearing my hair out here!
-
Stuart Luscombe
2013 Apr 13
0
help on smoothing volatility surface..
This script below pulls yahoo data via a function in quantmod, then
massages the data around to forumalate a 3D graph with RGL library,
attached is a ggplot to show the data i'm trying to create a surface with
in separate line geoms . the issue is that the 3D graph looks very ugly and
cut up because of the limited quantities of points on the front month
expirations.. can anyone tell me whats
2012 Oct 07
1
Testing volatility cluster (heteroscedasticity) in stock return?
Dear All,
i want to use garch model in return of stock. and the data should presence volatility cluster (Heteroscedasticity).
Do you know how to test volatility cluster (the presence of heteroscedasticity) in series data of stock return in R?
Is it using Langrange Multiplier (LM) ARCH test? what package i should use?
I really need the help. Thanks for the attention.
Eko A P
2013 Apr 06
1
Value at Risk using a volatility model?
Hi,
I want to calculate the Value at Risk with using some distirbutions and a
volatility model.
I use the following data(http://uploadeasy.net/upload/cdm3n.rar) which are
losses (negative returns) of a company of approx. the last 10 years. So I
want to calculated the Value at Risk, this is nothing else than the
quantile. Since I have losses I consider the right tail of the distribution.
Consider
2008 Feb 24
0
where can I find source code for particle filters applied to stochastic volatilities?
Hi all,
Could anybody point me to some overview/survey papers about using
particle filters and sequential monte carlo methods to estimate
stochastic volatilities? I couldn't find any such articles giving a
big-picture view of the literature.
How do these estimation methods compare to EMM and other Bayesian
methods for estimating stochastic volatilities?
Also, I am looking for some
2013 Apr 07
0
Fitting distributions to financial data using volatility model to estimate VaR
Ok,
I try it again with plain text, with a simple R code example and just
sending it to the r list and you move it to sig finance if it is
necessary.
I try to be as detailed as possible.
I want to fit a distribution to my financial data using a volatility
model to estimate the VaR. So in case of a normal distribution, this
would be very easy, I assume the returns to follow a normal
distribution
2019 May 07
0
Source client with HTTP PUT
Hello again,
for now I figuered out to send a mp3 stream to IceCast with TCP Socket communication.
Now I'm challenged with the correct timing for the data packets.
Are there any API calls for getting the state of IceCast's buffer?
I'm programming now on a scheduler for sending the mp3 frames, depending on the metada of each frame.
I hope, that this is precisly enough.
Can you tell
2013 Apr 08
0
Maximum likelihood estimation of ARMA(1,1)-GARCH(1,1)
Hello
Following some standard textbooks on ARMA(1,1)-GARCH(1,1) (e.g. Ruey
Tsay's Analysis of Financial Time Series), I try to write an R program
to estimate the key parameters of an ARMA(1,1)-GARCH(1,1) model for
Intel's stock returns. For some random reason, I cannot decipher what
is wrong with my R program. The R package fGarch already gives me the
answer, but my customized function
2006 Mar 30
1
GARCH Forecast?
I am trying to forecast volatility 2 periods forward using a ARCH(1) model:
predict(garch(fit2,order=c(0,1),n.ahead=2))
***** ESTIMATION WITH ANALYTICAL GRADIENT *****
Error in qr(com.hess$hess, ...) : unused argument(s) (n.ahead ...)
What did I do wrong?
Thank you.
Best regards,
Peter Arnold, CFA
President
PRA Investment Counsel, Inc.
704-341-8193
www.prainvestment.com
2013 Feb 17
0
forecast ARMA(1,1)/GARCH(1,1) using fGarch library
Hi, i am working in the forecast of the daily price crude .
The last prices of this data are the following:
100.60 101.47 100.20 100.06 98.68 101.28 101.05 102.13 101.70 98.27
101.00 100.50 100.03 102.23 102.68 103.32 102.67 102.23 102.14 101.25
101.11 99.90 98.53 96.76 96.12 96.54 96.30 95.92 95.92 93.45
93.71 96.42 93.99 93.76 95.24 95.63 95.95 95.83 95.65
2009 Jun 15
2
GARCH:: False Convergence
Dear R users,
I am trying to use tseries' garch function in order to determine the
volatility of a return series generated by quantmod. Here is the code that I
am using:
> library(quantmod)
> getSymbols("AAPL")
convert daily closing prices into continuous log returns
> dret<-dailyReturn(AAPL,type='log')
check to see that the autocorrelations decay
>
2011 Nov 27
0
Need Help with my Code for complex GARCH (GJR)
Hello,
i want to estimate a complex GARCH-model (see below).
http://r.789695.n4.nabble.com/file/n4112396/GJR_Garch.png
W stands for the Day of the Week Dummies. r stands for returns of stock
market indices. I stands for the GJR-term.
I need some help with three problems:
1.) implementation of the GJR-term in the variance equation
2.) compute robust covariance matrix
2007 Jul 19
0
fSeries GARCH(1,1)
Hello all, I am trying to use the "garchFit" function in the fSeries Package
to fit a Garch(1,1) Model with t distribution. I am using the following
codes.
fit <- garchFit(~garch(1,1),data,cond.dist="dstd")
fitted(fit)
I was expecting the fitted(fit) would return the fitted volatility, but the
result turns out to be a series of repeated same value. I tried to change
the
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
Hi,
I am completely new to GARCH models and trying to fit a multivariate time
series model using DCC GARCH model and forecast it.
The data looks like this:
> head(datax)
x vibration_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
2011 Nov 20
1
alpha_1 + beta_1 >1 in GARCH(1,1)
Hi,
as i suppose to know in a stationary GARCH(1,1) model the sum of alpha and
beta has to be smaller than 1.
But if i use the garchfit() function from the package fGarch for my
timeseries the sum is bigger than 1.
The adf.test tells me a p-value smaller than 0.01 instead.
What does this mean for me?
Can i trust in the coefficients in this case?
mfg user84
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