Re: [R-SIG-Finance] Starting value of conditional mean and variance

in conditional variance estimation by GARCH(1,1) model. But is the same logic applicable for conditional mean estimation with the help of ARIMA model, too? Or do I have to take any precaution for the same? Best regards, Samit Paul On Sun, Oct 4, 2015 at 11:54 PM, Patrick Burns <patr...@burns-stat.

Re: [R-SIG-Finance] Starting value of conditional mean and variance

stinfo/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. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burns

Re: [R-SIG-Finance] Failure of solve.QP in portfolio modeling

misinterpreted the original post.) Pat On 22/09/2015 19:59, Patrick Burns wrote: You can use a factor model or shrinkage to get a positive definite variance matrix. There is a function for each in the BurStFin package on CRAN. The optimizer in Portfolio Probe doesn't care about positive

Re: [R-SIG-Finance] Failure of solve.QP in portfolio modeling

R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burnsstat @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance

Re: [R-SIG-Finance] Solver for a generic optimal portfolio

://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. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog

Re: [R-SIG-Finance] random portfolios

r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burnsstat @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/l

Re: [R-SIG-Finance] portfolio.optim and error in solve.QP: matrix D not positive definite

. ___ R-SIG-Finance@r-project.org 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. -- Patrick Burns patr...@burns

Re: [R-SIG-Finance] Measure quality of fit for MA(q), ARMA(p, q) and GARCH(p, q)

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Re: [R-SIG-Finance] convert volatility of log returns to dollars

-- 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. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe

Re: [R-SIG-Finance] Sharpe's algorithm for portfolio improvement

, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r

Re: [R-SIG-Finance] Strategies based on Neural Networks (or SVMs) - any experience with R ?

/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. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe

Re: [R-SIG-Finance] missing data in return series...

, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r

Re: [R-SIG-Finance] A question on volatility

. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R

Re: [R-SIG-Finance] Skewness function for intraday data return distribution

general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance

Re: [R-SIG-Finance] help with egarch prediction

, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r

Re: [R-SIG-Finance] External regressors

]] ___ R-SIG-Finance@r-project.org 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. -- Patrick

Re: [R-SIG-Finance] correlation matrix

, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r

Re: [R-SIG-Finance] Option valuation for arbitrary distribution using monte carlo simulation

questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance

Re: [R-SIG-Finance] dynamic window size in rolling linear regression?

robust or lasso, ridge, pls... Food for thoughts... *Da:* Patrick Burns patr...@burns-stat.com *A:* r-sig-finance@r-project.org *Inviato:* Mercoledì 11 Gennaio 2012 17:35 *Oggetto:* Re: [R-SIG-Finance] dynamic window size

Re: [R-SIG-Finance] dynamic window size in rolling linear regression?

On 12/01/2012 10:05, riccardo visca wrote: [...] So I think you are right and wrong ... I absolutely agree. Though we may still have a discussion on which is which. Pat *Da:* Patrick Burns patr...@burns-stat.com

[R-SIG-Finance] How to search the archives

leave a comment about it. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance

Re: [R-SIG-Finance] tawny: deriving

pages (apologies for being demanding!!). Packages fPortfolio and corpcor didn't seem to provide any of this information either for the newbie crowd. S.hat- cov.shrink(h) Got intensity k = 146.8918 and coefficient d = 0.9792788 Regards Rohan Sadler -- Patrick Burns patr...@burns-stat.com http

Re: [R-SIG-Finance] correlation based time series clustering?

R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance

Re: [R-SIG-Finance] Are there genetic algorithm for trading strategy evolution in R?

general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance

Re: [R-SIG-Finance] Are there genetic algorithm for trading strategy evolution in R?

the sensitivity of the model and the selection of appropriate parameters - this is useful. But playing with the evolutionary strategy, what you Michael ask, is very risky. regards, Daniel 2012/3/8 Patrick Burns patr...@burns-stat.com mailto:patr...@burns-stat.com Comments inline. On 08

Re: [R-SIG-Finance] Vectorized local min/max finding

___ R-SIG-Finance@r-project.org 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. -- Patrick Burns patr

Re: [R-SIG-Finance] Using attachSymbols with non-default argument values (Was: the ZigZag function)

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. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com

Re: [R-SIG-Finance] Indexing Package

that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https

Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters

. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe

Re: [R-SIG-Finance] About Garch models

that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https

Re: [R-SIG-Finance] About Garch models

to me. p-values close to 1. What does the sentence mean: - Whenever Ljung -Box p-values close to 1 , never belive it.? or - Should I run other type of autocorrelation test? best Jaimie 2012/9/18 Patrick Burns patr...@burns-stat.com mailto:patr...@burns-stat.com You should *not* believe

Re: [R-SIG-Finance] agent-based model

. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you

Re: [R-SIG-Finance] ugarchfit function of rugarch package needs at least 100 data points.

with less than 100 observations? Any type of suggestion will be extremely helpful. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list

Re: [R-SIG-Finance] ugarchfit function of rugarch package needs at least 100 data points.

-project.org] On Behalf Of Patrick Burns Sent: Tuesday, October 09, 2012 1:05 PM To: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] ugarchfit function of rugarch package needs at least 100 data points. The blog post: http://www.portfolioprobe.com/2012/09/17/variability-of-garch-estimates/ shows

Re: [R-SIG-Finance] statistical features of equity time series

that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch

Re: [R-SIG-Finance] simulation

. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only

Re: [R-SIG-Finance] Monte Carlo Simulation

questions should go. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burnsstat @portfolioprobe ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance

Re: [R-SIG-Finance] ploting time series

/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. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burnsstat

Re: [R-SIG-Finance] Is there a general solution (package) for a portfolio optimization ?

-- 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. -- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burnsstat @portfolioprobe

Re: [R-SIG-Finance] Is there a general solution (package) for a portfolio optimization ?

05.07.2014 12:45, schrieb Patrick Burns: I'd say those calls are doing the right thing for (sort of) the wrong reason. If the variance matrix input into a portfolio optimization is singular, then the optimizer will think that an eigenvector associated with a zero eigenvalue gives you a riskless