Galib Khan Rutgers Business School '18 Business Analytics and Information Technology (609) 412-3654
---------- Forwarded message ---------- From: GALIB KHAN <[email protected]> Date: Sun, Aug 19, 2018 at 10:56 PM Subject: Re: [R-SIG-Finance] rugarch gives two different results based on the same model…how is that even possible? To: alexios galanos <[email protected]> Alexios, Did you set the set the seed to 1, because I'm looking at your results and the numbers do not match with the numbers that I have provided. I understand why the coefficients' estimates are similar but it doesn't explain why other columns such as the t-value and pr are off by a large margin. Also estimates for mu, ar*, ma*, omega, alpha1, and shape may have large differences. Take mu as an example: -7.538187e+00 - (-7.877120e+00) = 0.338933, isn't that considered a large difference to the point where it's safe to say that these two values are not similar? Another example is the t-values for x1 and x2: x1 = 8.799994e+01 - 5.509361e+02 = -462.9362 x2 = 8.508606e+01 - 5.287634e+02 = -443.6773 An more alarming case that unfortunately I cannot share due to the data being sensitive is that when the x variables' positions are switched, the p-values are not the same. The p-value for a particular external regressor went from 0 to 0.4385. I will attempt to re-create a separate generic dataset that is similar to the sensitive data that I am using. On Sun, Aug 19, 2018 at 10:06 PM, alexios galanos <[email protected]> wrote: > I run the code you provided and obtain the following results related to > the external parameters: > > > Case 1 (x1,x2) > # x2 is second > > Estimate Std. Error t value Pr(>|t|) > mxreg1 1.6724148 1.203377e-01 1.389767e+01 0.0000000 > mxreg2 2.5310286 1.878833e-02 1.347128e+02 0.0000000 > > Case 2 (x2,x1) > # i.e. x2 is now first > > mxreg1 2.5225382 0.04292725 58.7631024 0.000000e+00 > mxreg2 1.6782986 0.12769622 13.1428990 0.000000e+00 > > Small differences in the coefficients are the result of the optimizer. > There may be an issues in the > way starting parameters are being generated based on some recent input > from Josh Ulrich (still to investigate) > and related to arima0 (used to generate start parameters), but otherwise > don’t see a large problem at first glance. > > Alexios > > > On Aug 19, 2018, at 5:46 PM, GALIB KHAN <[email protected]> > wrote: > > > > Recently I have discovered a problem with a package called rugarch that > > creates arma-garch models. The issue is that if you literally change the > > positions of the x variables (external regressors) then you get two > > completely different results. > > > > In other words: > > > > - model1 = (arma(2,2) + garch(1,0) + x1 + x2) > > - model2 = (arma(2,2) + garch(1,0) + x2 + x1) > > - rugarch's output is essentially saying that model1 != model2 > > - When the correct result should be model1 == model2 > > > > I may not know a lot of statistics but I know for a fact that if you move > > the x variables around, the output should still be the same. > > > > Am I wrong on this? > > > > Here's my stack exchange post that shows a generic R script proving my > > point: Should the positioning of the external regressors change the > output > > of arma-garch? (Possible rugarch bug/error) > > <https://stackoverflow.com/questions/51900177/should-the-pos > itioning-of-the-external-regressors-change-the-output-of-arma-garc> > > > > Any feedback is welcomed. > > > > Thanks > > > > [[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. > > > > [[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.
