Displaying 20 results from an estimated 100 matches similar to: "Help with ugarchspec function"
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)"
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 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,
2018 May 22
0
DCC model simulation in R
Hi,
I have used R rmgarch package to implement EGARCH ADCC model from which I
can extract conditional covariance matrix. Now I would like to introduce
positive and/or negative shocks to see the asymmetric response of
covariance. I have come to know that impulse response function (IRF) or
volatility IRF is not compatible for any asymmetric models, therefore, the
only way to introduce shocks into
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
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(),
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
Hi,
I am 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 2017-05-16 17:57:00 0.000
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 Jun 16
0
I need help with the mean equation in rgarch package
Dear R users,
I hope this email finds you well,
My name is Mariam and I am currently using R in my thesis
project. I is about modeling investors' sentiment.
My R skills are very modest and I am trying to solve a Garch in mean
equation using the "rgarch" package.
The main issue I am facing is with the mean equation, and I need a
code for it or a lead on how to edit already existing
2011 Jul 22
0
GARCH IN THE MEAN Model in R
Dear All,
Sorry to bother. I'd like to estimate GARCH-M( GARCH IN THE MEAN) model. And
find that a package called rgarch could help. But I always can't instal
rgarch package successfully. I posted my problems and got some suggestions
but still failed. Does any one knows other method that could do GARCH-M
model?
I appreciate your time and help!
Cheers,
Xi
--
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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))
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
2009 Jun 10
2
Predict GARCH
hello,
i was trying to predict values for a garch, so i did:
predict(fitgarch,n.ahead = 20)
but this doesn't work. Someone can tell me how to get the 20 values ahead of a garch model.
thanks in advance
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2009 Jun 30
1
garchFit in fGarch fitted values are all the same
Dear all-
Package /fGarch/ version 2100.78 in R version 2.8.1 (2008-12-22)
running on linux 2.6.22.9-91.fc7
In trying to fit garch models in above environment. I am getting
"reasonable" fitted coefficients, but the fitObject@fitted are all the
same. This is true even for the help page example:
library(fGarch)
R> X.timeSeries = as.timeSeries(msft.dat)
R> head(
+
2010 Jun 21
2
Garch in the mean
Hello,
I was wondering if anyone knew how to fit a series using a Garch-M (Garch
in the mean) model. From what I gathered from the documentation, it does
not seem to be implemented in either fGarch, fSeries, or tSeries. Perhaps
there is an option that allows this functionality. Otherwise, if it's
possible to modify an existing function I would appreciate any guidance on
how to go about
2010 Oct 20
1
Multivariate GARCH
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indicato...
Nome: non disponibile
URL: <https://stat.ethz.ch/pipermail/r-help/attachments/20101020/415e917c/attachment.pl>
2002 Apr 15
2
Newbie problem with ox package
HI,
I need urgently garch and egarch models. After looking through the R mail
archives I found http://www.egss.ulg.ac.be/garch/default.htm which is an Ox
package. After downloading and installing it in R (Version 1.4.1 through the
windows dialog "Packages") I received the following warning:
install.packages("D:/benjamin/bartels/R/packages/garch22/garch_v22.zip",
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
2009 Jul 15
1
Is it possible to use EGARCH and GJR in R?
Hi,
Could you please help me with EGARCH and GJR?
Is it possible to use EGARCH and GJR in R? I have used below mentioned
code
for GARCH in R, but I never used EGARCH and GJR in R.
Thank you in advance!
daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T)
DAX.kurs<-daten
DAX.kurs<-ts(DAX.kurs,names="DAX-Kurs")
2004 Aug 02
1
Estimating EGARCH processes with R
Hallo,
I am a student specializing statistics and econometrics in germany. I know there is a way to program EGARCH-processes (time series analyses) in R.
If you are ackquainted with statistics already you know that there is nothing but a theorethical use of GARCH-Package in R. Not only because the distribution is gaussian, but also because the skewdness and leptokurthosis are not quite good