Hi
I trying to use the function dbWriteTable to write data from R into
pgAdminIII
The table is called price and the column within in price is called
pricelevel
The connection works fine and when I call dbExistsTable(con, price) I get
true so, so far so good.
However, when I call the function
On Wed, 2012-05-02 at 09:46 +0100, krisan haria wrote:
I trying to use the function dbWriteTable to write data from R into
pgAdminIII
The table is called price and the column within in price is called
pricelevel
While you may be trying to use the database to do finance, this question
has
Dear all,
Please I did backtesting using rugarch and got the following. Finding it
difficult to make sense of out of the result.
Please any help would be appreciated. I need some few comments. Also it
appears that the backtest length does not change (i may be wrong)Find the
output below:
VaR
On Wed, 2012-05-02 at 00:00 -0400, Jim Green wrote:
Greetings!
Pls forgive me if this is an old topic. I have searched through list
archives extensively but I am just not sure if I am using quantstrat
correctly with intraday data.
...
Currently I use something similar to attached test.R to do
Are you using the ugarchroll method? Show some code...
On Wed, May 2, 2012 at 7:03 AM, Papa sen papa.se...@yahoo.it wrote:
Dear all,
Please I did backtesting using rugarch and got the following. Finding it
difficult to make sense of out of the result.
Please any help would be appreciated. I
Please find some sample codes:
rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length
= 500,
refit.every = 25, refit.window = recursive, parallel = TRUE,
parallel.control = list(pkg = snowfall, cores = 10), solver = solnp,
solver.control = list(tol = 1e-05, delta =
What are you having trouble understanding? The Null Hypothesis is
clearly stated and the test also provides the 'decision' on whether to
reject the Null at the given confidence level.
Type ?VaRTest if you want a more detailed description of what each
parameter means, or read the vignette for a
It looks like you got what you requested - 500 1 step ahead forecasts with
a VaR Test that seems to fit the data well. Check the literature for the
defintions of the VaR Tests from Christoffersen/Kupiec et al.
On Wed, May 2, 2012 at 8:25 AM, Papa sen papa.se...@yahoo.it wrote:
Please find some
On Wed, 2012-05-02 at 15:35 +0100, Papa sen wrote:
Thanks so much for your comments. However, Alexios, I used the same
codes and changed the backtest length =875 and yet got a report of 500
to be the backtest length.
without more information, I don't think we know how long your series
is
Have you checked your data and code carefully?
e.g. Does your data have 975+ points (875 for forecast and 100 for
initializing the rolling estimation)?
I can't replicate your error and it is likely that you have forgotten
something:
library(rugarch)
data(sp500ret)
spec=ugarchspec()
rollD2 =
my data has 875 points
Da: alexios ghalanos alex...@4dscape.com
Cc: r-sig-finance@r-project.org r-sig-finance@r-project.org
Inviato: Mercoledì 2 Maggio 2012 16:51
Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch
Have you checked your data and code
As an alternative to adjusting for dividends in quantstrat or blotter,
my qmao package (https://r-forge.r-project.org/R/?group_id=1113) has
two functions that adjust intraday data for dividends.
`adjustIntraday.yahoo` will download dividend data from yahoo and
calculate daily ratios. Those
I have done the usual estimation of GARCH models with R, applied to my
historical dataset (commodities futures) with a maximum likelihood function
and selected the best model on the basis of information criteria (AIC, BIC).
Can somebody explain me the calibration scheme for a GARCH model with
We have a little over a week left till R/Finance Chicago, and it is
shaping up to be a full house as usual. There is still a little room
left in all of the optional pre-conference seminars, so I expect those
to fill up soon.
Details and registration are in the links below.
Looking forward to
As I will be unable to attend in person is there an option to pay and
attend via a webcast ?
On Wed, May 2, 2012 at 12:05 PM, Brian G. Peterson br...@braverock.comwrote:
We have a little over a week left till R/Finance Chicago, and it is
shaping up to be a full house as usual. There is
On 2 May 2012 at 17:18, Gordon Erlebacher wrote:
| Hi everybody,
|
| I have a MySQL database with stock information (using beancounter: thanks
| Kirk).
Interesting off-by-one error...
| I return 30 stocks from the database (data.frame format by default)
| I am converting the data.frame to
On Wed, May 2, 2012 at 10:57 PM, Jim Green
student.northwest...@gmail.com wrote:
Thanks for the comment! personally I am hesitant to adjust intraday
prices for splits or dividends, and I prefer adjust positions to
account for the corp actions. Actually even for simplest technical
analysis on
On 3 May 2012 00:07, G See gsee...@gmail.com wrote:
If a stock splits in half, don't you think you should adjust for that
before performing technical analysis? You'd treat that big jump in
price the same as a real price jump even though if you had a position
in the stock, your PnL would be
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