Thank you very much for your prompt answer and help, Alexios. I am running now some models and found some results that are puzzling me.
>From another thread I saw one recommendation that we should "(...) pass values in the external regressor which are close in scale to the variance equation", what makes sense to me... However, I noticed that when I define the external regressors with values close to the return series, the coefficients calculated for the external regressors are non-significant, while I have a strong hypothesis that those should be relevant in the process. Nevertheless, I noticed that when scaling to an annual basis the external regressor coefficients becomes significant... Attached follow a sample code (sample_gjr_extregressor.R) and simplified database (data.txt) with daily returns (r) and lagged realized variance (lag_extreg) I am using as inputs for the models. There are three models as below: Model1: Standard GJR Model2: GJR with lagged daily realized variance Model3: GJR with lagged realized variance annualized (scaled by 252) The table below summarizes the results found. model omega alpha1 beta1 gamma1 delta1 p-val_omega p-val_alpha1 p-val_beta1 p-val_gamma1 p-val_delta1 LL For_01d Model1 0.011449 0.131705 0.89924 -0.08386 NA 0.001217 0.000000 0.000000 0.000012 0.000000 -2033.96 0.800619 Model2 0.011449 0.131705 0.899244 -0.08387 1.23E-08 0.002944 0.000000 0.000000 0.000012 0.999999 -2033.96 0.800635 Model3 0.004839 0.066382 0.69109 -0.08387 0.001161 0.633308 0.037429 0.000000 0.010968 0.000451 -2012.57 0.778901 Any idea or suggestion on what might be happening? Thanks again in advance for any help with that issue. Best Regards, Assis. 2015-08-20 11:01 GMT-03:00 alexios <[email protected]>: > Hi, > > The answer is yes and yes. Add variable(s) lagged. > > Best, > > Alexios > > > On 20/08/2015 14:57, Assis Duraes wrote: > >> Hi, >> >> first of all I would like to thanks for the rugarch package. it is really >> useful and a very nice package. >> >> I am investigating the effect of external variables on conditional >> variance >> models forecasts. more specifically, I am would like to check if the >> addition of implied volatility and realized variance as external >> regressors >> on a GJR (1,1) model somehow enhance the daily volatility forecasts of it. >> >> Looking for a tool to help modelling it I found the rugarch package, and >> started looking into it. In fact, at this point, I believe I have a very >> basic question. but did not find an answer on previous posts or in the >> package documentation. >> >> Should I inform the external regressors matrix in model spec already >> lagged >> or not? I imagine, yes, since I did not find in any place where specify >> the >> lags for those regressors, but would like to confirm. In case affirmative, >> If I want to use a same variable with different lags I need to inform it >> multiple times, obviously with different lags, in external.regressors >> matrix, correct? >> >> My apologies in advance if it is explained somewhere, but as I explained, >> i >> search without much success.. >> >> Thanks in advance for any help with that, >> Assis. >> >> [[alternative HTML version deleted]] >> >> _______________________________________________ >> [email protected] mailing list >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance >> -- Subscriber-posting only. If you want to post, subscribe first. >> -- Also note that this is not the r-help list where general R questions >> should go. >> >> >> >
Date r lag_extreg 02-Jan-09 0.138163314 0.891127064 05-Jan-09 -3.535023066 1.870274188 06-Jan-09 -2.750700196 3.583100836 07-Jan-09 4.100392146 12.22858343 08-Jan-09 1.192369028 4.608871622 09-Jan-09 -1.829426571 6.547163751 12-Jan-09 2.731740518 6.090715266 13-Jan-09 0.051808999 3.492098049 14-Jan-09 2.291398015 5.32220453 15-Jan-09 -0.685745999 4.945541386 16-Jan-09 -1.020351671 3.800733908 19-Jan-09 0.98636552 2.318998273 20-Jan-09 0.896753186 1.411689395 21-Jan-09 -1.58746967 6.840925463 22-Jan-09 -0.721373732 1.160404717 23-Jan-09 0.395682422 1.840062275 26-Jan-09 -0.300920182 2.177548385 27-Jan-09 0.844574269 1.477195152 28-Jan-09 -3.06475949 1.397076051 29-Jan-09 0.955058517 2.482112626 30-Jan-09 1.278041873 2.568164406 02-Feb-09 -0.357936428 3.894530914 03-Feb-09 -0.411264893 2.726199461 04-Feb-09 0.099724681 1.324063693 05-Feb-09 -1.098098097 4.080999816 06-Feb-09 -1.714655999 1.360838912 09-Feb-09 0.68408227 1.927188295 10-Feb-09 2.206647918 1.431861352 11-Feb-09 -1.751710184 2.908787946 12-Feb-09 1.656397812 2.851444828 13-Feb-09 -2.328490897 2.544408025 16-Feb-09 0.883397971 2.114957664 17-Feb-09 2.835409091 0.420505528 18-Feb-09 0.664624123 2.000253048 19-Feb-09 0.795131917 2.045781673 20-Feb-09 0.407794902 2.213205729 25-Feb-09 -0.605985947 1.761959293 26-Feb-09 -0.57146641 15.95704868 27-Feb-09 1.307428687 1.078583361 02-Mar-09 2.511561709 2.100746576 03-Mar-09 -1.241690158 2.976018177 04-Mar-09 -2.005833828 2.53519926 05-Mar-09 1.003767274 1.669571252 06-Mar-09 -0.733986728 2.94231352 09-Mar-09 0.449420081 2.418813363 10-Mar-09 -2.237571105 1.444436926 11-Mar-09 0.29099644 1.108398503 12-Mar-09 -1.91985879 0.945832651 13-Mar-09 0.412963268 1.309161738 16-Mar-09 -0.915158695 1.41050858 17-Mar-09 -0.074452015 2.223559703 18-Mar-09 -1.456336419 0.783295028 19-Mar-09 0.306265358 2.599216014 20-Mar-09 0.600920861 2.367254608 23-Mar-09 -1.111885472 1.075024953 24-Mar-09 0.191362066 1.702283445 25-Mar-09 -0.508135704 0.944766224 26-Mar-09 0.490350022 1.397093033 27-Mar-09 1.863531097 1.544092219 30-Mar-09 1.726530847 1.940811503 31-Mar-09 -0.352400554 2.099328709 01-Apr-09 -2.13209138 1.800637715 02-Apr-09 -1.891288338 1.317965107 03-Apr-09 -0.968279762 2.050233381 06-Apr-09 0.58659134 1.327849068 07-Apr-09 -0.319942593 0.851663196 08-Apr-09 -0.561239818 1.176631696 09-Apr-09 -1.47229581 0.910995568 13-Apr-09 0.092081038 0.667451881 14-Apr-09 1.625012936 0.716143084 15-Apr-09 -1.142973669 0.931739827 16-Apr-09 -0.431430814 0.964987248 17-Apr-09 0.965837275 1.095237611 20-Apr-09 2.363431262 0.963487902 22-Apr-09 -1.664349927 1.675020317 23-Apr-09 -0.235507355 1.064367068 24-Apr-09 -0.984241974 1.139316005 27-Apr-09 1.80610255 2.216761089 28-Apr-09 -1.030657347 1.832345521 29-Apr-09 -0.96795569 2.512465818 30-Apr-09 0.494280183 1.131696016 04-May-09 -3.54076852 1.459229831 05-May-09 1.030524613 2.685220578 06-May-09 -1.054177017 3.974039231 07-May-09 -0.11360948 1.251728588 08-May-09 -2.420961458 1.491902609 11-May-09 0.339098324 1.829493959 12-May-09 0.130488383 0.732377794 13-May-09 2.079176344 1.577307033 14-May-09 -1.323765819 1.720931796 15-May-09 1.385241715 1.397834124 18-May-09 -2.135822606 2.047973102 19-May-09 -1.469255328 0.97777431 20-May-09 -0.33874207 2.469151582 21-May-09 -0.118092815 1.274762495 22-May-09 -0.206998595 1.463674103 25-May-09 0.02466517 1.428561532 26-May-09 -1.026260216 0.54420821 27-May-09 1.670329405 1.518735247 28-May-09 -1.87984759 1.493216944 29-May-09 -1.626133952 2.482699446 01-Jun-09 -0.938303671 9.166328144 02-Jun-09 -1.481355639 2.271825597 03-Jun-09 2.145199164 0.976171673 04-Jun-09 -1.383715 1.927168351 05-Jun-09 1.21561777 1.557842179 08-Jun-09 0.091724426 3.445882716 09-Jun-09 -0.987902488 1.610700351 10-Jun-09 0.174744352 1.173124693 12-Jun-09 -1.104983619 1.441942612 15-Jun-09 1.248661804 1.686982134 16-Jun-09 1.18766847 0.808459179 17-Jun-09 -0.147055121 1.174125346 18-Jun-09 0.071019127 5.816623774 19-Jun-09 0.167202937 1.605362958 22-Jun-09 2.864467303 1.58821996 23-Jun-09 -2.65711901 1.637358069 24-Jun-09 -0.430347726 1.600274867 25-Jun-09 -1.446300923 1.703917868 26-Jun-09 -0.324834646 1.148972358 29-Jun-09 1.048044527 2.811548278 30-Jun-09 -0.250735708 0.987099693 01-Jul-09 -0.993752225 1.49375028 02-Jul-09 1.193368414 1.135993713 03-Jul-09 -0.117674159 0.901814644 06-Jul-09 -0.04608413 0.446046285 07-Jul-09 2.278579593 0.940350821 08-Jul-09 0.284950327 1.527387025 10-Jul-09 -0.370092946 3.020884979 13-Jul-09 -0.885763214 2.786941461 14-Jul-09 -0.898779757 0.903490485 15-Jul-09 -1.412634252 0.967392433 16-Jul-09 -0.062098946 1.037556556 17-Jul-09 -0.295497766 0.856516969 20-Jul-09 -1.364334694 0.805632622 21-Jul-09 -0.121125959 1.290197508 22-Jul-09 0.320926226 0.67237049 23-Jul-09 -0.24717991 0.523678377 24-Jul-09 -0.17391767 0.708218324 27-Jul-09 -1.183257379 0.672625611 28-Jul-09 0.394204644 0.552118148 29-Jul-09 0.667658267 0.476395268 30-Jul-09 -0.556071868 1.11963809 31-Jul-09 -0.955157871 0.472734345 03-Aug-09 -2.173468393 0.644333765 04-Aug-09 -0.477852226 1.031172103 05-Aug-09 -0.148764456 1.062404595 06-Aug-09 1.542953409 0.888224845 07-Aug-09 -1.174203164 1.108138044 10-Aug-09 1.114461139 1.431021864 11-Aug-09 0.449901835 0.870816612 12-Aug-09 -0.553176746 0.807332009 13-Aug-09 -0.824578051 0.963665745 14-Aug-09 1.345299557 1.3113212 17-Aug-09 1.732364795 1.260609385 18-Aug-09 -1.954424626 4.045874101 19-Aug-09 -0.15193448 1.364458487 20-Aug-09 0.146512222 1.340515447 21-Aug-09 -0.778425857 0.965885685 24-Aug-09 0.60475817 0.762751637 25-Aug-09 1.112743076 0.339127542 26-Aug-09 0.021484585 0.471330122 27-Aug-09 0.257455624 0.642322689 28-Aug-09 0.7684136 1.200640156 31-Aug-09 -0.042535092 0.844051983 01-Sep-09 1.755402077 1.625685193 02-Sep-09 -1.436829013 1.828916417 03-Sep-09 -1.393248576 1.878714224 04-Sep-09 -0.869218592 1.068848521 08-Sep-09 -0.79482154 0.92772783 09-Sep-09 0.229295291 1.080152582 10-Sep-09 -1.278726641 0.577361282 11-Sep-09 1.104073174 0.726602705 14-Sep-09 -0.993667422 0.96930801 15-Sep-09 -0.486699705 0.658699951 16-Sep-09 -0.055456967 0.540058871 17-Sep-09 0.155202071 0.540100869 18-Sep-09 0.149431359 0.877147238 21-Sep-09 0.908371464 0.291050502 22-Sep-09 -1.758116934 0.437379546 23-Sep-09 0.284051543 0.630971416 24-Sep-09 0.122283379 0.68255509 25-Sep-09 -0.562628563 1.023445316 28-Sep-09 -0.162133488 1.029832718 29-Sep-09 0.055937799 0.473420634 30-Sep-09 -1.192633398 0.384963688 01-Oct-09 1.103117895 1.532046002 02-Oct-09 -0.257804324 0.782554512 05-Oct-09 -1.253616282 1.270088585 06-Oct-09 -0.011365574 0.693025865 07-Oct-09 -0.632823297 0.764666337 08-Oct-09 -0.694427308 1.293342993 09-Oct-09 0.264565634 0.646776995 13-Oct-09 -1.12055698 0.487454555 14-Oct-09 -1.209656825 0.765324655 15-Oct-09 0.005879068 0.541703318 16-Oct-09 0.52770571 0.57551492 19-Oct-09 0.449281615 1.617788353 20-Oct-09 2.131171547 0.802515096 21-Oct-09 -1.157871471 2.95208147 22-Oct-09 -0.926737012 1.22172039 23-Oct-09 -0.06985273 0.714914208 26-Oct-09 0.898530726 0.511178415 27-Oct-09 0.690133864 0.822587868 28-Oct-09 1.958009263 1.187864059 29-Oct-09 -2.648143127 2.100076506 30-Oct-09 1.625679763 3.007455352 03-Nov-09 -0.947009188 2.106877969 04-Nov-09 -1.379411824 1.755919356 05-Nov-09 -0.244385086 0.81669933 06-Nov-09 0.215322922 0.510061259 09-Nov-09 -1.245958033 0.781872117 10-Nov-09 0.750604591 1.029600429 11-Nov-09 0.37902025 0.6957342 12-Nov-09 1.024877967 0.757758841 13-Nov-09 -0.774928699 0.979536585 16-Nov-09 -0.599763058 0.944411076 17-Nov-09 -0.029206461 0.411111682 18-Nov-09 0.802983484 0.726227965 19-Nov-09 0.075312114 0.795870844 23-Nov-09 -0.017374685 0.93797048 24-Nov-09 0.277633355 1.333491215 25-Nov-09 -0.532809507 0.468641114 26-Nov-09 1.42983122 0.627062621 27-Nov-09 -0.349801085 1.092791322 30-Nov-09 0.852286011 1.657184218 01-Dec-09 -2.013645302 0.493588498 02-Dec-09 -0.122117888 0.758074764 03-Dec-09 -0.484121217 0.516197976 04-Dec-09 1.231929114 0.580948387 07-Dec-09 0.121208638 1.282327935 08-Dec-09 1.624935627 0.637335388 09-Dec-09 0.011350094 0.941754206 10-Dec-09 -0.312597941 1.556356335 11-Dec-09 0.102412389 1.098777195 14-Dec-09 -0.684738767 0.960082995 15-Dec-09 0.314420725 0.753568582 16-Dec-09 0.245133093 1.154156945 17-Dec-09 1.441476586 0.42532121 18-Dec-09 -0.089837176 1.457599647 21-Dec-09 0.246858294 1.095252679 22-Dec-09 -0.207544598 0.592098336 23-Dec-09 -1.180504545 0.364770702 28-Dec-09 -1.039474777 0.738622324 29-Dec-09 -0.06317301 0.69741869 30-Dec-09 0.051689976 1.09377442 04-Jan-10 -1.247994011 1.247999874 05-Jan-10 0.614387837 0.802708398 06-Jan-10 0.0231107 0.607645845 07-Jan-10 0.891450907 0.639108673 08-Jan-10 -1.157546974 1.132716984 11-Jan-10 0.62938684 0.789364381 12-Jan-10 0.636890009 0.764722785 13-Jan-10 0.484980838 1.426324153 14-Jan-10 0.187654657 1.126467639 15-Jan-10 0.685069912 1.732173519 18-Jan-10 -0.452412693 2.048328824 19-Jan-10 0.328203101 1.509680499 20-Jan-10 1.050896181 1.452878717 21-Jan-10 0.790694024 1.096286432 22-Jan-10 1.196364574 1.18680499 26-Jan-10 0.579236592 2.101541733 27-Jan-10 1.229268451 0.860440748 28-Jan-10 0.750673766 1.390705619 29-Jan-10 1.221146048 0.982245078 01-Feb-10 -2.506075422 1.152370265 02-Feb-10 -1.000606532 1.213644396 03-Feb-10 1.23840592 0.927419976 04-Feb-10 1.308540149 1.071246707 05-Feb-10 0.12778874 2.36511966 08-Feb-10 -0.202407654 2.24620156 09-Feb-10 -1.515017696 1.191309401 10-Feb-10 0.48062736 1.165899057 11-Feb-10 -0.697394366 0.891801955 12-Feb-10 0.600375008 0.828340472 17-Feb-10 -1.30266714 1.184240026 18-Feb-10 -1.187088022 4.007677867 19-Feb-10 -0.337810096 0.574771192 22-Feb-10 0.475927849 1.025553243 23-Feb-10 0.857572184 0.462704632 24-Feb-10 -0.125975643 0.457520088 25-Feb-10 -0.043854841 0.296652631 26-Feb-10 -0.892223796 0.546707282 01-Mar-10 -0.54363034 0.661810095 02-Mar-10 -0.278505165 0.403052437 03-Mar-10 -0.072538574 0.493735899 04-Mar-10 -0.173189239 0.560858074 05-Mar-10 -0.571974867 0.629101289 08-Mar-10 0.577566301 0.554172487 09-Mar-10 -0.718256833 0.551835227 10-Mar-10 -0.389336082 0.579443518 11-Mar-10 -0.277408393 0.413792758 12-Mar-10 -0.085075013 0.399010368 15-Mar-10 0.113417274 0.462068453 16-Mar-10 0.169885085 0.251406437 17-Mar-10 -0.022634676 0.542578394 18-Mar-10 1.388169649 0.302935595 19-Mar-10 0.556577382 0.671347879 22-Mar-10 -0.66826556 0.586408135 23-Mar-10 -0.762805875 0.72897494 24-Mar-10 1.403316015 0.304972318 25-Mar-10 0.988876384 0.706105255 26-Mar-10 -0.005497375 0.732003584 29-Mar-10 -1.356046793 0.818797823 30-Mar-10 -0.256667924 0.505916201 31-Mar-10 -0.481631755 0.576220578 01-Apr-10 -0.941939901 0.44191496 05-Apr-10 -0.158802211 0.278555727 06-Apr-10 -0.495036432 0.427802546 07-Apr-10 1.595778544 0.385821721 08-Apr-10 -0.022458032 0.529649775 09-Apr-10 -0.953489692 0.618875071 12-Apr-10 -0.614126802 0.570365918 13-Apr-10 -0.211265674 0.21247632 14-Apr-10 -0.228898526 0.354227677 15-Apr-10 0.188879088 0.559395373 16-Apr-10 0.536071999 0.911305303 19-Apr-10 -0.239166448 0.827851735 20-Apr-10 -0.17689525 0.457419729 22-Apr-10 0.734063102 0.352171358 23-Apr-10 -0.414737975 0.354604207 26-Apr-10 -0.570940746 0.400548921 27-Apr-10 1.409995501 0.38734135 28-Apr-10 -1.295546276 0.831867315 29-Apr-10 -1.196723332 0.780956518 30-Apr-10 0.674918197 1.290317027 03-May-10 -0.715442701 0.715278956 04-May-10 2.165157035 0.392088176 05-May-10 1.702336118 1.046981118 06-May-10 3.287787227 1.404448686 07-May-10 -0.926057903 6.941222117 10-May-10 -3.713366513 5.546746176 11-May-10 1.089469977 12.12253461 12-May-10 -0.914580649 1.064063723 13-May-10 0.084514189 0.531297619 14-May-10 1.32593064 0.446387304 17-May-10 0.072224232 1.805674234 18-May-10 1.17599699 2.129676479 19-May-10 0.323314527 1.687094286 20-May-10 3.007178153 3.975147206 21-May-10 -1.616304922 8.243621378 24-May-10 0.913052157 3.733809295 25-May-10 -1.361883517 1.638283099 26-May-10 1.431363224 7.555799056 27-May-10 -3.059636549 2.500878899 28-May-10 0.099108036 4.164283019 31-May-10 0.208906068 1.609531702 01-Jun-10 1.46648579 6.570456974 02-Jun-10 -1.647879271 1.560035042 04-Jun-10 2.595855777 1.333501226 07-Jun-10 0.768988089 1.433291831 08-Jun-10 -1.365812185 1.086852577 09-Jun-10 -0.226757467 1.36433715 10-Jun-10 -2.495614658 0.919425471 11-Jun-10 0.342996574 1.316890054 14-Jun-10 0.022088464 0.703856053 15-Jun-10 -1.31163999 1.223233044 16-Jun-10 -0.011189437 0.576633223 17-Jun-10 -0.398038367 1.119865896 18-Jun-10 -0.456043354 0.74258605 21-Jun-10 -0.050800103 0.385714602 22-Jun-10 0.944039378 1.774433773 23-Jun-10 -0.039157554 0.836595151 24-Jun-10 -0.207230744 1.157956027 25-Jun-10 -0.190807623 0.977592469 28-Jun-10 0.005617189 0.849937239 29-Jun-10 1.84216468 0.524885517 30-Jun-10 -0.480916324 1.911145799 01-Jul-10 -0.756441674 1.064221435 02-Jul-10 -1.066467225 0.998353246 05-Jul-10 0.298633832 0.63174139 06-Jul-10 0.123699763 0.182523061 07-Jul-10 -0.687907985 0.685294773 08-Jul-10 -0.391168049 0.479480396 12-Jul-10 0.011359764 0.480472247 13-Jul-10 -0.210364805 0.406150684 14-Jul-10 0.318218248 0.349278364 15-Jul-10 0.017018863 0.356014293 16-Jul-10 1.083226389 0.819392489 19-Jul-10 0.587463574 0.551419258 20-Jul-10 -1.031746284 0.509499826 21-Jul-10 0.371308443 0.435322298 22-Jul-10 -1.282902107 0.324032118 23-Jul-10 0.889045749 0.720679156 26-Jul-10 -0.644762145 1.19676255 27-Jul-10 0.271985662 0.403129463 28-Jul-10 0.101804205 0.509824796 29-Jul-10 -0.623761591 0.440412002 30-Jul-10 -0.176492403 0.522510284 02-Aug-10 -0.165388272 1.362628183 03-Aug-10 0.307745157 0.86583011 04-Aug-10 -0.296330283 0.357410258 05-Aug-10 -0.02283105 0.31525815 06-Aug-10 0.518121124 0.245060479 09-Aug-10 -0.683802311 0.331125188 10-Aug-10 0.25697413 0.214906016 11-Aug-10 1.213098035 0.353321517 12-Aug-10 -0.287769983 0.47311397 13-Aug-10 0.129881149 0.399604222 16-Aug-10 -0.986794147 0.250244175 17-Aug-10 -0.011399259 0.196355918 18-Aug-10 -0.074126874 0.26064696 19-Aug-10 0.136806725 0.386516141 20-Aug-10 0.039866732 0.254708673 23-Aug-10 0.782716264 0.255267067 24-Aug-10 0.028244598 0.310145577 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0.439577514 18-Dec-13 0.511730029 0.317628023 19-Dec-13 1.083582122 0.895129821 20-Dec-13 1.290014095 0.777772712 23-Dec-13 -1.268801138 0.65724899 26-Dec-13 -0.157082543 0.35287657 27-Dec-13 -0.652190125 0.296985964 30-Dec-13 0.91103227 0.334213867 02-Jan-14 1.183794762 0.796418944 03-Jan-14 -0.474362286 1.635646041 06-Jan-14 0.138763347 0.499043485 07-Jan-14 -0.311434956 0.390975048 08-Jan-14 1.023241336 0.508659244 09-Jan-14 -0.259013388 0.488240615 10-Jan-14 -1.356095745 0.436480165 13-Jan-14 -0.04241062 1.037746711 14-Jan-14 -0.314398865 0.39543837 15-Jan-14 0.399202127 0.511340053 16-Jan-14 0.084731407 0.403076911 17-Jan-14 -0.803592836 0.774233768 20-Jan-14 0.034145717 0.524985018 21-Jan-14 0.735563171 0.261330929 22-Jan-14 0.53655677 0.462991639 23-Jan-14 1.102066508 0.374035688 24-Jan-14 -0.087552902 0.688680171 27-Jan-14 1.045609294 1.188820071 28-Jan-14 -0.049543785 0.677643115 29-Jan-14 0.650368638 0.520395502 30-Jan-14 -1.151311539 0.824192258 31-Jan-14 0.141014498 0.63028821 03-Feb-14 1.133308374 1.370424118 04-Feb-14 -1.436320041 0.614081478 05-Feb-14 -0.128954447 0.577457821 06-Feb-14 -0.856974916 0.689109918 07-Feb-14 -0.11341918 0.785145493 10-Feb-14 1.282095614 1.497901027 11-Feb-14 -0.394986273 0.584637278 12-Feb-14 1.060842039 0.619485525 13-Feb-14 -1.348708067 0.380261926 14-Feb-14 -0.19237209 0.679887528 17-Feb-14 0.025113009 0.491364979 18-Feb-14 0.263306528 0.298501927 19-Feb-14 -0.087691831 0.524861427 20-Feb-14 -0.978156872 0.587878181 21-Feb-14 -1.047485246 0.754185813 24-Feb-14 -0.187753416 0.491718028 25-Feb-14 -0.004271223 0.479586101 26-Feb-14 0.375170972 0.415327421 27-Feb-14 -1.319302953 0.442376124 28-Feb-14 1.076455125 0.451661204 05-Mar-14 -1.093703939 1.351142223 06-Mar-14 0.219699832 0.294833804 07-Mar-14 0.7288662 0.580352436 10-Mar-14 0.409260067 0.478243189 11-Mar-14 0.560011646 0.643054457 12-Mar-14 -0.347516878 0.549844596 13-Mar-14 0.360208039 0.516958019 14-Mar-14 -0.73450136 0.780048601 17-Mar-14 0.097961973 0.774529579 18-Mar-14 -0.640617181 0.251498022 19-Mar-14 0.674668429 0.47514246 20-Mar-14 -0.936364453 0.566986449 21-Mar-14 -0.120352475 0.609537329 24-Mar-14 -0.094664379 0.656547088 25-Mar-14 -0.500626828 0.378345606 26-Mar-14 -0.364093853 0.616944254 27-Mar-14 -1.929122914 1.398581868 28-Mar-14 0.101767669 1.105637528 31-Mar-14 0.472083999 0.788347437 01-Apr-14 -0.441131775 1.653068368 02-Apr-14 0.30899645 0.570528459 03-Apr-14 0.470485643 0.425845439 04-Apr-14 -1.940088312 0.378341338 07-Apr-14 -0.758752826 1.167083004 08-Apr-14 -0.782720883 0.494014377 09-Apr-14 -0.665362706 0.878199992 10-Apr-14 0.901276072 1.171718078 11-Apr-14 0.537793636 0.801721769 14-Apr-14 -0.207543839 0.69926936 15-Apr-14 0.836561504 0.433586379 16-Apr-14 0.478095681 0.47641465 17-Apr-14 -0.299100689 0.615884001 22-Apr-14 0.044698731 0.414113973 23-Apr-14 -0.708586694 0.357613905 24-Apr-14 -0.356185142 0.382360551 25-Apr-14 1.328088437 0.641028134 28-Apr-14 -0.899918768 0.988111483 29-Apr-14 0.565074604 0.541201624 30-Apr-14 -0.170083292 0.71304312 02-May-14 -0.489481634 0.574358493 05-May-14 1.02114825 1.043883165 06-May-14 -0.661661928 0.448987054 07-May-14 -0.571288749 0.3617477 08-May-14 -0.076719998 0.46801303 09-May-14 -0.099372157 0.45056602 12-May-14 0.072280451 0.308086409 13-May-14 0.022576931 0.229027329 14-May-14 -0.570498695 0.294945401 15-May-14 0.782473067 0.304378637 16-May-14 -0.21648935 0.352334262 19-May-14 -0.357329009 0.224306605 20-May-14 0.411495301 0.178402385 21-May-14 -0.388841653 0.315819703 22-May-14 0.388841653 0.3574491 23-May-14 0.328880976 0.492487491 26-May-14 0.053959262 0.384663385 27-May-14 0.591638138 0.204971401 28-May-14 -0.255050813 0.249387652 29-May-14 -0.350074412 0.222551555 30-May-14 0.774798421 0.439127168 02-Jun-14 1.558174148 0.436685702 03-Jun-14 0.171154015 0.598685238 04-Jun-14 -0.043857726 0.759313866 05-Jun-14 -0.77064036 0.478535997 06-Jun-14 -0.656408974 0.502864323 09-Jun-14 -0.804186079 0.770392956 10-Jun-14 -0.197566406 0.368265169 11-Jun-14 0.394743257 0.290169209 12-Jun-14 -0.111984603 0.290076315 13-Jun-14 -0.309729795 0.257504421 16-Jun-14 0.479896869 0.18610443 17-Jun-14 1.196393999 0.191899105 18-Jun-14 -1.528039532 0.2620141 20-Jun-14 0.107681274 0.433366389 23-Jun-14 -0.485481489 0.239193025 24-Jun-14 0.261014504 0.319679826 25-Jun-14 -0.776037102 0.156658233 26-Jun-14 -0.499478857 0.87432334 27-Jun-14 -0.136655604 0.297210335 30-Jun-14 0.930112647 0.5529108 01-Jul-14 -0.561570245 0.450764154 02-Jul-14 0.980688009 0.387990427 03-Jul-14 -0.58635322 0.408720613 04-Jul-14 0.144652407 0.885117085 07-Jul-14 0.500147482 0.15516695 08-Jul-14 -0.51369976 0.351211083 10-Jul-14 0.320245645 0.296253109 11-Jul-14 0.018011527 0.308200044 14-Jul-14 -0.397004943 0.152459563 15-Jul-14 0.311421279 0.152773724 16-Jul-14 0.198082269 0.239673848 17-Jul-14 1.54855048 0.199914845 18-Jul-14 -1.427193969 0.598991893 21-Jul-14 -0.229352741 0.63943547 22-Jul-14 -0.374388673 0.18750713 23-Jul-14 0.297820716 0.313684389 24-Jul-14 0.103577952 0.196945868 25-Jul-14 0.363922675 0.260992012 28-Jul-14 -0.332420233 0.316793865 29-Jul-14 0.399668224 0.16508886 30-Jul-14 0.643290134 0.104709617 31-Jul-14 0.793918968 0.464755111 01-Aug-14 -0.260987032 0.57554583 04-Aug-14 0.0310002 1.21178994 05-Aug-14 1.030800722 0.256273311 06-Aug-14 -0.386406031 0.574290319 07-Aug-14 0.971944081 0.550596795 08-Aug-14 -0.519822073 0.471680773 11-Aug-14 -0.342195648 0.785033156 12-Aug-14 0.065897861 0.59820073 13-Aug-14 0.201816416 0.237594149 14-Aug-14 -0.659603992 0.651510193 15-Aug-14 -0.287185122 0.286756532 18-Aug-14 -0.119535155 0.6020043 19-Aug-14 -0.466222011 0.257695441 20-Aug-14 0.669788926 0.231567379 21-Aug-14 0.295760253 0.298881023 22-Aug-14 0.387136993 0.178107898 25-Aug-14 0.481823096 0.37856633 26-Aug-14 -1.177983821 0.16350049 27-Aug-14 -0.647624691 0.223676135 28-Aug-14 -0.227217135 0.573639483 29-Aug-14 -0.272449308 0.483695585 01-Sep-14 0.446250015 0.382515737 02-Sep-14 -0.102461308 0.211977398 03-Sep-14 -0.299073987 0.285440488 04-Sep-14 0.267869261 0.26145791 05-Sep-14 -0.049055679 0.413634971 08-Sep-14 1.13987884 0.510362609 09-Sep-14 0.755682169 0.381581203 10-Sep-14 0.166185641 0.680163035 11-Sep-14 0.401204149 0.554183929 12-Sep-14 1.7814865 0.389889261 15-Sep-14 0.166599069 1.177111868 16-Sep-14 -0.479186302 0.478157226 17-Sep-14 1.117377712 0.481957856 18-Sep-14 0.296434536 1.350931746 19-Sep-14 0.139443516 0.759673959 22-Sep-14 1.24631814 0.57512056 23-Sep-14 0.586292455 1.328566074 24-Sep-14 -1.197019694 0.788282203 25-Sep-14 1.849941556 0.876197099 26-Sep-14 -0.317663585 0.892118866 29-Sep-14 1.133994649 0.824429342 30-Sep-14 -0.032689086 4.32380163 01-Oct-14 1.388009297 0.662130163 02-Oct-14 0.554663801 0.874111195 03-Oct-14 -1.473791641 0.787391159 06-Oct-14 -1.318448448 1.526016039 07-Oct-14 -1.227518109 5.229788914 08-Oct-14 -0.80436127 1.072543514 09-Oct-14 0.88360884 2.347087316 10-Oct-14 1.267727642 1.55192701 13-Oct-14 -1.442990581 1.012214047 14-Oct-14 0.250281697 1.105400203 15-Oct-14 2.359153443 0.590840347 16-Oct-14 0.612540706 2.375913577 17-Oct-14 -1.519965694 3.884472545 20-Oct-14 1.179677742 1.031965454 21-Oct-14 0.768052931 0.762204648 22-Oct-14 0.152905229 2.528040169 23-Oct-14 0.517335877 0.725263768 24-Oct-14 -1.049487909 0.862464344 27-Oct-14 1.889946144 2.395868288 28-Oct-14 -2.412754281 8.554093268 29-Oct-14 0.036563814 0.768370663 30-Oct-14 -2.438192525 1.635221425 31-Oct-14 3.081958539 2.381937176 03-Nov-14 0.703789276 1.623747427 04-Nov-14 0.01202188 1.634809502 05-Nov-14 0.487669352 1.203728281 06-Nov-14 2.446111287 0.977240925 07-Nov-14 -0.436767063 1.220448749 10-Nov-14 -0.254358469 1.179624693 11-Nov-14 0.16051682 0.631429647 12-Nov-14 0.46443639 0.361596244 13-Nov-14 0.798918347 0.602744636 14-Nov-14 0.493219249 0.910449827 17-Nov-14 0.280203619 1.433308083 18-Nov-14 -1.005459479 0.886876227 19-Nov-14 -0.44235841 0.561222311 21-Nov-14 -2.185965325 0.704141478 24-Nov-14 1.197193224 1.175436118 25-Nov-14 -0.630394901 1.057735144 26-Nov-14 -1.13682757 0.748620158 27-Nov-14 1.176343891 0.732163353 28-Nov-14 1.346042103 0.642213425 01-Dec-14 -0.183375327 0.736951136 02-Dec-14 0.335282965 0.913491879 03-Dec-14 -0.628601387 0.696645097 04-Dec-14 1.461923393 0.683792281 05-Dec-14 -0.088815097 0.772383417 08-Dec-14 0.458672199 1.205701318 09-Dec-14 -0.169348051 0.489126625 10-Dec-14 0.790396625 0.905784265 11-Dec-14 1.3551423 0.505000033 12-Dec-14 0.067842608 0.533989473 15-Dec-14 1.558939215 0.790431433 16-Dec-14 1.578834893 0.743215062 17-Dec-14 -0.858091074 2.662166089 18-Dec-14 -1.952424377 2.181552601 19-Dec-14 -0.124006554 1.474232269 22-Dec-14 0.210344517 0.869894623 23-Dec-14 1.108240974 0.54801514 26-Dec-14 -0.954518806 0.687431673 29-Dec-14 1.339704467 0.572060769 30-Dec-14 -1.775238684 0.40233409 02-Jan-15 1.367785441 1.524534489 05-Jan-15 0.437021547 1.31229359 06-Jan-15 -0.192350433 0.719442792 07-Jan-15 -0.664972638 0.507912106 08-Jan-15 -0.7632768 0.710917998 09-Jan-15 -1.117963073 0.767531782 12-Jan-15 1.537738061 1.591409581 13-Jan-15 -1.147297657 0.850816968 14-Jan-15 -1.019097724 1.026085515 15-Jan-15 0.9736879 0.902624618 16-Jan-15 -0.748441083 1.516171242 19-Jan-15 1.084740971 0.746503819 20-Jan-15 -1.436194899 0.618985242 21-Jan-15 -0.464126953 0.887146189 22-Jan-15 -1.020180422 0.873103598 23-Jan-15 0.217273307 0.986310731 26-Jan-15 0.131685987 0.936847311 27-Jan-15 -0.391693507 0.737847312 28-Jan-15 0.120386026 0.648429721 29-Jan-15 1.073162201 0.638102976 30-Jan-15 2.969597666 0.805499694 02-Feb-15 1.64504754 2.720609084 03-Feb-15 -1.191346502 1.041698985 04-Feb-15 1.714285654 1.278608098 05-Feb-15 0.134861787 1.01240798 06-Feb-15 1.320736366 1.316291187 09-Feb-15 -0.392588161 1.935698927 10-Feb-15 2.191614291 0.52372709 11-Feb-15 1.245564583 1.092460143 12-Feb-15 -1.549655903 2.045209791 13-Feb-15 0.385261588 1.183272487 18-Feb-15 0.151576602 0.864180902 19-Feb-15 0.977942914 0.582020509 20-Feb-15 0.090649194 0.664830222 23-Feb-15 0.316626628 0.518338566 24-Feb-15 -1.741612133 0.677008448 25-Feb-15 1.411044823 1.152796903 26-Feb-15 1.274476125 1.978250329 27-Feb-15 -2.251665485 1.902440027 02-Mar-15 1.88967726 1.69505695 03-Mar-15 1.242507833 1.106089289 04-Mar-15 1.63078351 0.873628573 05-Mar-15 0.775560483 2.227421767 06-Mar-15 2.010946288 1.192258874 09-Mar-15 1.888068501 2.105727569 10-Mar-15 -0.678055846 1.525451037 11-Mar-15 0.806080444 2.68549738 12-Mar-15 1.258677859 1.812518054 13-Mar-15 2.578595486 2.805730454 16-Mar-15 -0.092387294 3.662852915 17-Mar-15 -0.185031045 2.252853755 18-Mar-15 -0.899175102 1.506019623 19-Mar-15 2.497592378 3.282594738 20-Mar-15 -1.87351211 1.859667184 23-Mar-15 -3.09622256 2.977154402 24-Mar-15 0.229599259 1.932268771 25-Mar-15 1.939970942 3.364258175 26-Mar-15 -0.560769628 2.515110428 27-Mar-15 2.070711968 2.31351228 30-Mar-15 -0.611150739 1.316075247 31-Mar-15 -1.03321493 2.74894284 01-Apr-15 -0.999756818 4.442317395 02-Apr-15 -1.335940223 2.28000791 06-Apr-15 0.102416396 1.507591735 07-Apr-15 0.11828835 1.432739042 08-Apr-15 -2.602425479 0.800693154 09-Apr-15 0.27181494 1.701692168 10-Apr-15 0.577197474 1.560262413 13-Apr-15 1.481460761 1.434093827 14-Apr-15 -1.875681546 1.54968385 15-Apr-15 -1.13592817 1.206809971 16-Apr-15 -0.271110396 1.1999367 17-Apr-15 0.66982581 1.376579289 20-Apr-15 -0.273327686 1.476658231 22-Apr-15 -0.718153766 1.382617889 23-Apr-15 -1.34082089 0.732935107 24-Apr-15 -0.655186403 1.553051082 27-Apr-15 -1.169006036 0.782670511 28-Apr-15 0.693510116 1.051685187 29-Apr-15 0.813756906 1.660261716 30-Apr-15 1.780561784 2.272798394 04-May-15 2.36037839 2.378079555 05-May-15 -0.986544866 6.032666715 06-May-15 -0.705974135 1.251389989 07-May-15 -0.293705351 1.424625231 08-May-15 -1.706594315 1.002090386 11-May-15 2.902403571 1.800535706 12-May-15 -1.397612318 1.097524197 13-May-15 0.65355395 1.330180433 14-May-15 -1.501594417 1.582522481 15-May-15 0.090133704 1.023675656 18-May-15 0.28987942 1.370234083 19-May-15 1.075510475 0.655918444 20-May-15 -1.175374003 1.111335725 21-May-15 1.17866548 0.762132356 22-May-15 1.826415651 0.628552658 25-May-15 0.100137293 0.859642068 26-May-15 1.798218289 1.097618429 27-May-15 -0.438569317 0.73136278 28-May-15 0.733045726 0.750299894 29-May-15 0.501459696 1.110683092 01-Jun-15 -0.324557957 1.061975702 02-Jun-15 -1.145916963 1.880443647 03-Jun-15 0.041494439 0.775764188 05-Jun-15 0.280433581 0.808437396 08-Jun-15 -0.959270642 3.466698236 09-Jun-15 -0.496023177 0.923455366 10-Jun-15 0.678994097 0.506534011 11-Jun-15 -0.905275105 0.893225446 12-Jun-15 0.956575244 1.352275843 15-Jun-15 0.230525508 0.931646198 16-Jun-15 -1.222705796 0.816838253 17-Jun-15 -1.051185336 0.910306294 18-Jun-15 0.117708619 1.33354411 19-Jun-15 1.221190883 1.021521009 22-Jun-15 -0.566518729 0.759967223 23-Jun-15 -0.159202074 0.591226683 24-Jun-15 0.745087512 0.523500818 25-Jun-15 0.934811414 0.769115867 26-Jun-15 0.057537401 0.914280681 29-Jun-15 -0.371378688 0.880524394 30-Jun-15 -0.472616502 0.929692352
sample_gjr_extregressor.R
Description: Binary data
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