[R] garch external regressors
Hi everyone, i have a terribly stupid question, but i hope someone could reply me! when i'm fitting a garch model and i want to insert in the variance model some external regressors as temporal dummy or lags of other variables and so on, which timeline should follow the time series that i select? in other words, if the dependent variable is at time t, the external regressors in the ugarchspec formula should be at time t or t-1? thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/garch-external-regressors-tp4638190.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
[R] gamma distribution in rugarch package
Hi guys, does anyone know if there is the possibility to fit a gamma distribution using ugarch?honestly i don't know if maybe is possible to fix some parameters that reduce ghyp or ged in a gamma distribution.. thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/gamma-distribution-in-rugarch-package-tp4637893.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
[R] lagged variables
hi guys, i have some trouble in creating lagged variables to use as external regressors. i'm trying to use lag(x) but it gives me as result the same time series (x), adding this part at the end: attr(,tsp) [1]0 23231 where do i wrong?are there other functions to be used? thanks sara -- View this message in context: http://r.789695.n4.nabble.com/lagged-variables-tp4637734.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] dummy variable
oh god, thanks!now it looks so simple!! -- View this message in context: http://r.789695.n4.nabble.com/dummy-variable-tp4637347p4637574.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
[R] external regressors in garch variance
Hi guys, i need your help!i'm trying to fit a multiplicative error model using rugarch, imposing a null mean for the garch model so the resulting variance is the mean of my multiplicative error model. the point is that i need to increase the number of external regressors, including asymmetric effect, dummy variables and other variables, but when i insert in ugarchspec(variance.model=list(...external.regressors=X)) the output of the model doesn't include 'vxreg1', 'vxreg2',..' as it should. where do i wrong? thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/external-regressors-in-garch-variance-tp4637573.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
[R] dummy variable
Hi, i need a little help! i must create a dummy variable to insert as external regressor in the variance equation of a garch model; this dummy is referred to the negative sign of returns of an asset, so it has to be 1 when returns are negative and 0 when they are positive, and in my model the dummy is multiplied by another time series, the daily range. (have i explained well?!) thank's a lot sara -- View this message in context: http://r.789695.n4.nabble.com/dummy-variable-tp4637347.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] multiplicative error model
no the manual doesn't help me. because, it doesn't give me the results i need. this is what i obtain (y in my case is the daily range of sp) mem - dm( y~mem(1,1) ) summary( mem) Call: dm(formula = y ~ mem(1, 1)) mem Call: dm(formula = y ~ mem(1, 1)) Coefficients: [1] 0.001656 0.234052 0.719307 no statistics! than actually i should implement a more complex model, with asymmetric effects or even multivariate, but i've no idea on how can i do it. thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/multiplicative-error-model-tp4633730p4633807.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
[R] multiplicative error model
HI, i'm trying to estimate a multiplicative error model in R, i've seen the dynamo package but it seems that i'm not able to use it. does someone know how can i do it? thanks -- View this message in context: http://r.789695.n4.nabble.com/multiplicative-error-model-tp4633730.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
