1. rmgarch does not support varma, only VAR 2. The model you estimated is univariate ARMA(1,1) 3. The NAs are because you set fit.control = list(eval.se = FALSE) i.e. you are telling the routine to not evaluate the standard errors.
Alexios > On Jul 25, 2018, at 16:08, Marcio Bernardo <[email protected]> wrote: > > Hi, > > I was wondering if the current rmgarch version allows for a VARMA-GARCH > modeling. > > > I tried forcing the issue, changing the rmgarch example: > > > uspec.n = multispec(replicate(30, ugarchspec(mean.model = list(armaOrder = > c(1,1))))) > spec.dccn = dccspec(uspec.n, dccOrder = c(1, 1), distribution = 'mvnorm') > fit.1 = dccfit(spec.dccn, data = X, solver = 'solnp', cluster = cl, > fit.control = list(eval.se = FALSE)) > > but the results were a bit off: > > >> fit.1 > > *---------------------------------* > * DCC GARCH Fit * > *---------------------------------* > > Distribution : mvnorm > Model : DCC(1,1) > No. Parameters : 617 > [VAR GARCH DCC UncQ] : [0+180+2+435] > No. Series : 30 > No. Obs. : 1141 > Log-Likelihood : 70882.93 > Av.Log-Likelihood : 62.12 > > Optimal Parameters > ----------------------------------- > Estimate Std. Error t value Pr(>|t|) > [AA].mu 0.002643 NA NA NA > [AA].ar1 -0.693738 NA NA NA > [AA].ma1 0.664589 NA NA NA > [AA].omega 0.000065 NA NA NA > [AA].alpha1 0.115044 NA NA NA > [AA].beta1 0.869706 NA NA NA > [AXP].mu 0.002737 NA NA NA > [AXP].ar1 0.072418 NA NA NA > [AXP].ma1 -0.150777 NA NA NA > [AXP].omega 0.000011 NA NA NA > [AXP].alpha1 0.064777 NA NA NA > [AXP].beta1 0.934223 NA NA NA > . > . > . > [Joint]dcca1 0.004960 NA NA NA > [Joint]dccb1 0.942361 NA NA NA > > Information Criteria > --------------------- > > Akaike -123.17 > Bayes -120.44 > Shibata -123.51 > Hannan-Quinn -122.14 > > > > This seems to be a ARMA-DCC fit, instead of VARMA-DCC and the NA is troubling > me. > > > > > I understand the package support VAR-Garch. Is there any package currently > available in R that have VARMA-Garch model (I don’t have access to RATS)? > > > Any help would be much appreciated, > > > > Márcio R. Bernardo > _______________________________________________ > [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. > [[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.
