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I want to introduce two GARCH models in R with a GARCH(1,1) and AR(1,2).

GARCH with Mean equation (1) and Variance equation (2)

Exponential GARCH with Mean equation (1) and Variance equation (2)

My data looks as follows:

 Date       Price
 2013-05-03 97.75
 2013-05-04 112.50 
 2013-05-05 115.91 
 2013-05-06 112.30 
 2013-05-07 111.50 
 2013-05-08 113.57

      reg1   reg2   reg3   reg4   reg5    reg6     reg7     reg8
 [1,] 0.15 6460.7 1.3066 1.5519 1467.6 1469.25 4.655958 4.762088
 [2,] 0.14 6521.5 1.3112 1.5563 1464.2 1469.25 4.582413 4.655958
 [3,] 0.14 6521.5 1.3112 1.5563 1464.2 1469.25 4.722953 4.582413
 [4,] 0.14 6521.5 1.3112 1.5563 1464.2 1469.25 4.752814 4.722953
 [5,] 0.14 6521.5 1.3067 1.5538 1468.0 1469.25 4.721174 4.752814
 [6,] 0.12 6557.3 1.3085 1.5468 1448.8 1444.25 4.714025 4.721174

I already found out that the rugarch-package might be useful but unfortunately I'm not an expert in R and don't know how to introduce the two models. Would appreciate some help!

Thanks in advance!

silamon
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1 Answers1

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I have been working on this problem for the past few months, as the paper I am using for my thesis references the work of Dyhrberg (2016), the one where this GARCH model is from. I have also tried several approaches, however, was not able to reach similar result. Later I found a paper which replicates the work of Dyhrberg and it explains why is it not possible to achieve similar results. Please find the paper below this link

https://www.sciencedirect.com/science/article/abs/pii/S1544612317305093

wemtex
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  • Good to hear that I‘m not alone with this problem... I appreciate your reply and thanks for the link to the paper! – silamon Jul 03 '19 at 21:54