this post has been submitted to r-sig-finance Galib Khan Rutgers Business School '18 Business Analytics and Information Technology (609) 412-3654
On Fri, Aug 17, 2018 at 2:27 PM, GALIB KHAN <[email protected]> wrote: > Sup guys, > > Got an interesting issue with the rugarch package. > > I noticed that when I changed the order of the external regressors, there > are different values for the robust coefficient matrix. The values should > be > the same (according to the ordering of the variables). However, I am > getting > drastically different results. At that time the model was arma(2,2) + > garch(1,0). > > Is this considered a normal behavior of the rugarch package? I assume that > when you change the ordering of the external regressors the output should > be > exactly the same....digit by digit. > > I confirmed this issue by creating a generic script that can be tested by > anyone. Has anybody faced this issue before or is there post that describes > the issue that I am facing? > > Maybe I am going insane...for now I will look further into the > documentation that our Alexios has provided > > Thanks! > library(rugarch) > > > set.seed(1) > > x1 <- rnorm(1000,5,1) > x2 <- rnorm(1000,3,3) > > y <- .5*(x1*x2) + rnorm(1000,1,3) > dat <- data.frame(x1,x2,y) > > var1 <- c("x1","x2") > var2 <- c("x2","x1") > > # setbounds(spec)<-list(vxreg1=c(-1,1)) > model_maker <- function(x_name){ > temp <- dat[,c("y",x_name)] > > spec <- ugarchspec(variance.model = list(model = "sGARCH", > garchOrder = c(1,0)), > > mean.model = list(armaOrder = c(2,2), > external.regressors = > as.matrix(temp[,x_name]), > include.mean= T), > > distribution.model = "std") > > fit <- ugarchfit(spec = spec, data = as.matrix(temp$y),solver = > "hybrid") > return(fit@fit$robust.matcoef)} > > model_maker(var1) > model_maker(var2) > [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
